T.S. Elliot is trying to communicate a very subtle point, in something of a reverse order, and there are a couple possible interpretations of this.
Much of The Waste Land is a tirade on selfishness, portraying the harm it does to oneself. The key line here is actually the last one: Thinking of the key, each confirms a prison. The prison could be one of the mind: we're each trapped within our own prisons, and in thinking of the key, we confirm that we are trapped in it. We each hear the key, in our own prisons, without giving thought to the others who are also trapped in the same.
But it's also a commentary on the way poetry and literature as a whole locks itself into a cage of introspection. After a little digging, I found a good reference. Steven Colbrun, in Anne Sexton: Telling the Tale (somewhat oddly) writes on this point:
"We think of the key, each in his prison, / Thinking of the key, each confirms a prison," wrote Eliot a half-century back, on the way to his conversion to Christianity. But consider how much of our literature, our high literature especially, and most especially our high poetry, confirms the prison. We are instructed perhaps in its interior decoration, but not encouraged to seek escape. ...If each in his cell believes himself locked up forever, the last thing he wants to hear from a neighboring cell is the noise of scratching, poundings, screamings for the jailer.
Interestingly, this point isn't necessarily contradictory with the notion that our prisons are ones of selfishness. We get caught in our own webs of thinking, and stop listening to what's going on around us.
These are just a couple possible interpretations. Either way, the passage certainly is on the topic of self-imprisonment and self-centeredness: that once we fall into that well ("Turn in the door once..."), you can no longer get out of it - not because you're incapable, but because of... some external reason that varies depending on your reading of the poem. Your perspective, and how you view the rest of the poem, should influence where you go from there.