Assuming its not hunger or bathroom related, in my experience its because the cat's bored. He enjoys the walks and has fun, and the walk probably fulfills a need to "patrol" his territory which he finds rewarding, but he can't go on the walk often enough - or long enough - for his tastes. So he figures if he yells you'll let him go patrol some more. I'd say redirect him . Play with him in the house for 10-15 minutes, then wrap it up with a kitty treat and he should go take a nap for a bit. You could also hide his food around the house come feeding time to encourage him to patrol his home instead of being focused on doing it outside.

I have no idea if any of that would work, every cat's different. I can distract mine from wanting in rooms (he refused to wear a leash and so cannot go outside so he's vocal at closed doors) just by playing with him or giving him attention usually. But its also temporary and he'll do it again. Alternatively you could do the earplug-ignore thing when he cries at the door/harness but invest additional time to engage him when he's quiet, that way you aren't encouraging the behavior if you don't want to be.