The basic atheist complaint your talking about is the good life complaint. Where-in we ask why the important part is which building we entered once a week and what name we invoked when asking the devine for guidance and assistance (or whether we even did that). When I read the Bible (which I still do periodically inspite of being an atheist) I see a lot of good advice on how to be a good person, most of which has absolutely nothing to do with the act of worship. The actual worship strikes me as a very small portion of the Bible. So then our question why is the most important thing how we follow a small percentage of the Bible.
On the other side there's the confusion matter. There are dozen of religions (and sects of religions) in the world, hundreds if you dig into the historical record. All of them claim to be the one true religion. All of the apparently miraculous happenings of the world could be just as easily attributed to any of the religions, none of these things ever have signatures. People of 4 different faiths can see the same thing as clear proof of the correctness of their faith. When you're looking from the inside out there is great sureness in the correctness of your visions. But when you look from the outside in all religions look equal. Some might appeal more than others, but those are largely for asthetic reasons.
Maybe that is the big gap in your parable. You have the richman himself come out and tell the seakers which door to take. But that's not how it works. God Himself has never told me which sect of which religion to follow. I've read significant portions of the Bible, the Torah, the Koran, the Eda and the Bagahivata (I'm sure that's spelled wrong but my spell checker has no clue). I've spent serious time studying Budhism, Shintoism and some of the Indian religions. I've learned the differences between the main sects of the major religions of the world. I even learned a bit about what Babylonians and Summerians worshipped. I've peaked in all the doors I could and didn't see anything that said "yep this is the door".
In the process I have learned that most of the religions in the world have the exact same lessons at the core. Lessons about honesty and honor, and how to deal with your fellow man. Most of the 10 Commandments are included, in some way, in every religion I've studied. Most of the Seven Deadly Sins are warned against, in some way, by every religion I've studied. Of course these things are also taught by many philosophies that are completely seperated from religion. Because these things are good solid advice, if those rules are followed by everyone, regardless of any person's individual reasons for following them, the world would be pretty close to perfect.
So, to bring it into the parable, our question isn't: why can't we go through this door? It's why aren't there signs on the doors saying which one to use?
Too bad that NO one is able to keep it!
Maybe you were looking for the door for the wrong reason. Maybe you were looking for a restroom and didn't see a restroom clearly marked so you figured there was no restroom.
Christianity doesn't merely offer "fire insurance" to keep you from Hell. Christianity offers you a relationship with G-d. The relationship is so intimate and personal that the only example of it in our world is the relationship of a loving husband and wife. It's not about getting to Heaven after you die. It's about being with G-d forever, starting now. It's about loving G-d and being loved by G-d and becoming all that you were created to be.
As far as I know, Jesus is the only one who has made that possible. Is that something you would want?
Shalom.