My son was the same way. He was afraid to sleep in his own room because there was a monster in there. We bought him Spiderman sheets & comforter, and he's been sleeping in there by himself for a month now. We just tell him there is nothing to be afraid of, because Spiderman wouldn't let anything get him. He's really into Spiderman. Maybe if you try something like that, and the closet doors have to be shut for my son. He's 4.
Hope this helps.