He can't help it: a pang of jealousy shoots through Strange as he sees Rita transform. He's accepted the fact that he's never going to be a Guardian, but a tiny petty part of him still desperately wishes it were so and can't help but be bitterly jealous at the fact that Rita can transform.

At her question, Strange nods. "I tried to break it, but it's still not budging." Maybe there was something inside holding the door in place? Hell if Strange knew. "The seal on the door itself is tight: I can't enter in that way."

He can't just creepily puff in as smoke. Every doorway seemed to have a crack or a gap in there somewhere except, annoyingly, this one. Strange continues to magically maintain the temperature, though he backs out of the way slightly to let Rita do her thing.