It's the same for me... It just pushed me out after the battle.
The door leads to an other cave system filled with undead. After getting through that system you get to discover a new cave entrance, which I assume will lead to a new city somewhere in the Western part of the map. I remember reading some in-game lore about a city that uses necromancy that is in the west. (I'm not 100% sure though, so don't quote me as my memory might be a little bit fuzzy)