Are you using the lock button on the outside of the car on the handle, or the lock button on the inside Dumbo68? I use the outside button to lock and unlock our SUV.
If your opening your door and hitting the lock button on the inside of the SUV as you get out, it will automatically unlocks it because it senses the key on the inside still. I believe this is what is happening. We get out of the car, shut the door and then hit the black button on the door handle. This locks the doors, and folds in the outside mirrors on ours. When unlocking you push the button once on the driver door and it unlocks the driver door, twice will unlock all doors. If you push it once on the passenger side front door it unlocks all door.