We've had indoor cats that keep trying to sneak out. Something that has worked great to convince them that it's a bad idea is to to use an air horn (not aimed at them, not close to them, just to make a sudden loud unfamiliar noise). Stand outside the door with the horn. Open the door and let them get curious. As soon as they set one paw outside the door frame, fire a quick blast. It's only taken doing it 2-3 times, and they all learned fast that it's scary out there.

I don't really like scaring them that way, but it's better than getting hit by a car, lost, or eaten by a predator.