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Matthew 6:6

But when you pray, go into your room, close the door and pray to your Father, who is unseen. Then your Father, who sees what is done in secret, will reward you.

Ambrose
You must not think that he means by this a room with four walls separating you physically from others, but the room that is within you, where your thoughts are shut up, the place which contains your feelings. This room of prayer is with you at all times, wherever you go it is a secret place and what happens there is witnessed by God alone.

A T Robertson
Into thy closet (eis to tameion). The word is a late syncopated form of tamieion from tamias (steward) and the root taṁ from temnō, to cut. So it is a store-house, a separate apartment, one’s private chamber, closet, or "den" where he can withdraw from the world and shut the world out and commune with God.

David Brown
Of course, it is not the simple publicity of prayer which is here condemned. It may be offered in any circumstances, however open, if not prompted by the spirit of ostentation but dictated by the great ends of prayer itself. It is the retiring character of true prayer which is here taught.