You can create a locked room by using the option for a private room. If you use this option when creating a game in the Play with friends room, only you can decide who will be able to enter the locked room.

When you create a locked room, it will be visible in the Play with friends lobby but the other users will see locks on the players' places.

Please note that you can turn on the private room option only when you create the room. If you forget to turn it on, you will have to destroy the room and make it again.