Luke clearly tells us in the passage I pointed to that Jesus did in fact “mess with their minds” eye. He kept them from recognising him until he wanted them to recognise him. Go read the text. So, it is possible that he entered the room before they locked the door making himself unknown to them at first. And, when he wanted to he made himself known to them. Like I said it is assumed by those who read the text that Jesus walked through the wall. The text simply does not say how he did it.
Another, possiblity is simply that Jesus shifted between dimensions, that being he came there from heaven or from a spiritual realm. Again, this is all specuation on all of our parts, and one specualtion is as good as another.
Luke 24:39
Behold my hands and my feet, that it is I myself: handle me, and see; for a spirit hath not flesh and bones, as ye see me have.
The NASB brings out the verb in John 20:17 the best, stop clinging to me, she had a tight grip on Jesus after his resurrection.
John 20:17 Parallel Translations
NASB: Jesus said to her, “Stop clinging to Me, for I have not yet ascended to the Father; but go to My brethren and say to them, ‘I ascend to My Father and your Father, and My God and your God.’” (NASB ©1995)
GWT: Jesus told her, “Don’t hold on to me. I have not yet gone to the Father. But go to my brothers and sisters and tell them, ‘I am going to my Father and your Father, to my God and your God.’”(GOD’S WORD®)
KJV: Jesus saith unto her, Touch me not; for I am not yet ascended to my Father: but go to my brethren, and say unto them, I ascend unto my Father, and your Father; and to my God, and your God.
ASV: Jesus saith to her, Touch me not; for I am not yet ascended unto the Father: but go unto my brethren, and say to them, I ascend unto my Father and your Father, and my God and your God.
BBE: Jesus said to her, Do not put your hand on me, for I have not gone up to the Father: but go to my brothers and say to them, I go up to my Father and your Father, to my God and your God.
DBY: Jesus says to her, Touch me not, for I have not yet ascended to my Father; but go to my brethren and say to them, I ascend to my Father and your Father, and to my God and your God.
ERV: Jesus saith to her, Touch me not; for I am not yet ascended unto the Father: but go unto my brethren, and say to them, I ascend unto my Father and your Father, and my God and your God.
WEY: “**Do not cling to me,” **said Jesus, “for I have not yet ascended to the Father. But take this message to my brethren: ‘I am ascending to my Father and your Father, to my God and your God.’”
WBS: Jesus saith to her, Touch me not: for I have not yet ascended to my Father: but go to my brethren, and say to them, I ascend to my Father and your Father, and to my God and your God.
WEB: Jesus said to her, “Don’t hold me, for I haven’t yet ascended to my Father; but go to my brothers, and tell them,‘I am ascending to my Father and your Father, to my God and your God.’”
YLT: Jesus saith to her, ‘Be not touching me, for I have not yet ascended unto my Father; and be going on to my brethren, and say to them, I ascend unto my Father, and your Father, and to my God, and to your God.’