^ Banned for making some here likely feel "inadequate" o.0
Banned because I just finally got around to playing Thief, and I managed to get to the end of the first mission but couldn't unlock the door, despite the fact that I was using the key that I was supposed to get, as per my objectives, and there's a check mark on the objective so I know it's the right key, but it still doesn't work. So I had to give up on that game. What idiot designers messed that up, anyway?
If you mean the keys to Bafford Manor's upper floor: even though the objective is checked, you might not have the key...such as if you dropped it(there is a drop item button) after picking it up, or if you knocked out the guard carrying the key but didn't pick the key up(off of the guard's body).
And if you have the key, you need to "use" it on the door in question(right click is default, iirc)......of course making sure you're using the correct key(some levels have multiple keys).