The phrase 'come knocking on the door' means to contact someone usually with a request or an offer. This phrase can be used with positive and negative situations. If you say to someone 'don't come knocking on my door' you are telling them that you do not wish to be contacted by them, especially to ask for help. This phrase is much more likely to be used in a social context and is often said as a warning when someone thinks what you are about to do is a bad idea and that you will regret it later.

1. If you don't want to listen to my advice then fine, but don't come knocking on my door if it all goes wrong!
2. I hadn't planned to go travelling after college, but when the opportunity to go backpacking in Asia came knocking at my door, I felt that I had to go.

1. Ruth is who I have in mind for the promotion. She's been knocking on the door for a while now with her consistently excellent work, so I think she deserves it.