My cat Winston loves to go outside on his leash. The only time he goes out without it is when he's on the second story deck. It's completely enclosed by a railing that's too narrow for his bulk to get through. The one leash training rule I learned that helped the most was never let them actually walk out the door. I always pick him up and place him out in the yard. For some reason, this turns off the association between the open door and running outside. He would initially cry at the door and whack at the blinds, but once he saw that it didn't get him anywhere he stopped.