Which door? And which boss are you talking about? I'd imagine that if you are planning on killing the boss, then you're going to have to fight the gang anyway. You have nothing to lose by bashing the door down. It'll start a fight if anyone sees you hacking the door down, but if you were going to fight them anyway...
You can acess each gang HQ by finding the locked sewers entrance. It is located somewhere near the docks (south of the gypsy, i think)
Just talk bad to the doorman and you'll get a fight started with that gang. The doorman might have the key; if not, just enter combat mode and Alt click on the offensive locked door and bash it down. As I recall the only locked door is Pollocks. Or you can try wandering around the sewers, but it's a little too easy to get lost down there.
After I wiped out the one gang, Sebastian joined up. After selling off the loot I had Sebastian fabricate charged (dexterity) rings for everyone, then headed to the other side of the boil. I saved the game, then picked a fight by picking the lock on the boss's door. Sebastian began griping. I reloaded the saved game, had Sebastian wait near the guards, picked the lock, killed all the gang members, killed their boss, and began loading up all the loot. I never did find a key to that door on any of the corpses. If you don't have lockpicking skills, just beat it down as mentioned by another of our friends here. In reference to the sewers, again I agree with a previous message that its easy to get turned around (at least for me). As per Sebastian, he readily rejoined at the same reaction level. When I went back to get Virgil, he was dismissed.