Theophylact of Ohrid

"But thou, when thou prayest, enter into thine inner chamber and when thou hast shut thy door, pray to thy Father Who is in secret; and thy Father Who seeth in secret shall reward thee openly." Should I not then pray in church? Indeed I should, but with a right mind and not for show. For it is not the place which harms prayer, but the manner and the intent with which we pray. For many who pray in secret do so to impress men.

Commentary on Matthew ↗

Augustine of Hippo

Or, by our chambers are to be understood our hearts, of which it is spoken in the fourth Psalm; (Ps 4:4.) What things ye utter in your hearts, and wherewith ye are pricked in your chambers. The door is the bodily senses; without are all worldly things, which, enter into our thoughts through the senses, and that crowd of vain imaginings which beset us in prayer. …

Catena Aurea by Aquinas ↗

Jerome

But when you pray, go into your room, close the door, and pray to your Father who is in secret. And your Father who sees in secret will reward you. This is simply understood, it teaches the listener to flee from vain glory in prayer. But it seems to me that this is more of a command, that we should pray to the Lord with our thoughts confined within our hearts and our lips closed, which we also read Anna did in the Book of Kings; Her lips, it says, were moving (1 Samuel 1:13).

Commentary on Matthew ↗

Hilary of Poitiers

We are asked to pray with the bedroom door closed, as it were, and we are taught to pour out our prayer in every place. The saints' prayers were undertaken in the presence of wild animals, in prisons, in flames, from the depths of the sea and the belly of the beast. Hence we are admonished not to enter the recesses of our homes but the bedroom of our hearts. With the office of our minds closed, we pray to God not with many words but with our conscience, for every act is superior to the words of speakers.

Commentary on Matthew 5.1 ↗