On this page of the guide to Resident Evil Village, you will find hints on how to get rid of the locks you find. This is important when you're exploring the environment and want to be able to explore 100% of the locations you visit.
You will come across locks practically since the very beginning of the game. They are attached to chains at selected gates and as a result prevent you from fully exploring the locations you visit.
It is worth noting that the locks remain visible on the map - they have a specific icon and a Lock signature. This allows you to easily find them later in the game.
Interestingly enough, you don't need a lockpick to remove a lock. Instead, you can use a firearm or a knife - the latter method is more advisable because it will save you ammunition.
Destroying locks is unfortunately not possible right away - Ethan doesn't start the game with a knife or a firearm. Fortunately, you will be able to return to all starting areas later in the campaign.