"From" doesn't always imply movement. It can sometimes just be perspective: The view from the penthouse is breathtaking. = When you are in the penthouse, you can enjoy a breathtaking view.
In the case of the locked room, we're a bit on the borderline between perspective and movement. In terms of perspective, you can say that someone who is inside the room locked the door. In terms of movement, you could say that someone inserted the key into the lock from the inside of the room: the key moved from the room into the lock.