- Are the windows locked? Otherwise it's a rock climber who can climb the side of the building. Some buildings are not that difficult to climb for a good climber.
- The murderer was not in the room when the murder happened. Poison or a trap of some sort. (Kinda boring.)
- The murderer was in the room when the murder happened, but locked the door behind themselves. (This one doesn't really work because the door is presumably of a kind that can't be locked behind you, or else no one would be surprised. Good to double-check, though, that you're sure the door couldn't have been locked behind someone leaving.)
- The murderer was in the room when the attack happened. The murderer attacks, then the murderer leaves, then the victim locks the door, then the victim finishes dying. This isn't as far-fetched as it sounds: if someone nearly kills me and then leaves but it seems like there's a chance they might come back, hell yeah I'm going to lock the door, possibly even before calling for help.
- The murderer is a carpenter. They locked the door, pocketed the key, put the door back into the previously empty door frame, then left. (This is a bit far fetched if the victim was found soon after death; door frames are a lot of work.)
- The murderer is still inside the room, very well hidden. Say, inside the sofa where the stuffing should be, waiting very quietly until the investigation is over so they can leave.