They are going to do it.... it's not so much the outdoors. Any door that opens Ella and Effie go running to it... They often end up in the wardrobe as soon as it opens like they expect narnia to be on the other side!
The street door was a problem as we used to have the ritual of getting home from work and then they ran out and I would spend 10 mins trying to get them, usually when I was busting to go to lav!
We got a Water gun - like the cleaning fluid bottles with a trigger, and the girls got a squirt from that everytime they tried. We only had to go it for a bit - as they recognised what would happen. So it went from a squirt, to showing the bottle, to not having to worry as they have no interest in going out.