If you would like to have a private conversation without worrying that someone will enter the room and hear what you are discussing, there is the option to lock the room.

Simply click the 'lock' in front of the room name at the top of the screen. You also unlock it in this way.
Please note that anyone currently present in the room can unlock it, despite who locked it.

For other users, this room will now have a red overlay and they need to ask for permission to join the conversation, they will not be able to hear anything being said inside of the room.