Does your house have central air (Refrigerated)? If so, then occasionally you need to open the door. The air intake is at/near the central part of the house. This allows air to circulate from all areas of the home (think of an escalator moving from the vent around your room to the floor, and back to that uptake).
If you keep your door closed it causes resistance that blocks the easy flow of air, which will then cause more air to circulate elsewhere in the house because it's the path of least resistance.
If you have a swamp cooler, then crack your window. Since those pull air from outside and pump it into the house (pressurizing) you can get it to push more of that air to your room by giving it a place to relieve that pressure.