The door is not a natural occurrence and has been caused by Soviet drilling efforts in 1971 when a drilling rig "accidentally" punched the huge hole into a natural gas cavern of massive dimensions. The rig is still somewhere in there as the collapse swallowed it whole.
People responsible thought that the next best solution to drilling gas is lighting gas on fire and set the cavern ablaze. The burn was expected to last for only a few days but to this day is still in progress. Although it kind of set natural gas drilling efforts back it gave a boost to the tourism. The Door of Hell is now an international tourism attraction.