What does John 10:2 mean?

Jesus is building the first of three analogies based on the idea of sheep and shepherds. Sheep pens of that era were constructed with relatively high walls and a single door. This made it much easier to control which animals—and which people—could get in or out. Several flocks could be housed in a single structure. Individual shepherds were known by their flocks purely by voice. To get a particular shepherd's flock out, all that shepherd needed to do was call. In response, his sheep—and only His sheep—would come out.

Because these pens were built for security, there was no need or reason for anyone to use any entry point other than the intended door. At least, there was no legitimate reason. The single door was where approved shepherds would be allowed to come in and out, and where their flocks would enter and leave. The only reason someone would enter the pen by climbing the wall is so they could harm or steal sheep.

Jesus will continue in the next verses to explain that He, and He alone, is the "approved" shepherd, and those sheep which are His recognize Him by His voice. Strangers and thieves won't be recognized by the sheep.

At this point, Jesus is not speaking about heaven. His analogy has a well-defined purpose, not directly related to salvation or attaining eternal life. As Jesus will say later on, those who are "His," as it pertains to everlasting life, cannot be "stolen" in the way a robber in this particular analogy would do. Rather, this symbol is about how and why certain people respond to the message of the gospel, and others do not.