Originally Posted by
Alberel
There are suspicious doors all over the game world acting as placeholders for possible future content. The two most intriguing at present (other than the fairly obvious Gates of Judgement) are the Boulder Downs in Coerthas and the Dalamud fragment in The Burning Wall (which most had previously assumed to be the Final Coil entrance) as both have very clear paths running into them that are currently blocked.
I would imagine, as others have said, that this particular door is a placeholder for a possible Gelmorran dungeon of some kind. I'm personally hoping that the expansion will expand the current game world as much as add new regions, much like FFXI did so perhaps we'll see Gelmora open after 3.0.