That's normal...I've read that some girls start as young as 7 or 8. It does not mean that she's been sexually abused or exposed to anything that she shouldn't have been...some kids figure this out sooner than others. I would just tell her to lock her door or maybe you could knock before entering. I wouldn't punish her for it or tell her that it's wrong...that's a bad idea. You don't want her to feel ashamed and embarrassed, because this feeling could last into adulthood and affect her intimate life as an adult.
Let us know how you handle it!
Knock before you enter, maybe?