You can not lock your personal Rabbit room. In the latest release, your own Rabbit room is now public, and anyone who wants to join your room (while you're there) can join it by visiting your room URL directly.
Instead, you can Create a Group. Groups are completely private. Only users who've been invited to it and join the Group can see it, chat in it, and share content within it. When you create a group and start content in it, you've then created a private room within the group.
Here are a few articles to get you started started: