I have a similar problem with my cat. I started leaving a shake can (empty soda can with some pennies) right outside the door and would shake it right as I walked in because my cat was waiting right there trying to get out. I'd also shake it near the door as I was leaving. It actually worked and eventually she would approach the door but didn't try to get out.
Unfortunately, I got lazy and complacent!!! and took her out a couple of times while I got my newspaper in the morning (not outdoors, but just out to the hallway of my apartment bldg), thinking, well, it's still inside, I'm close by. BIG mistake! Now she's back to her old ways. Every morning she waits by the door and cries to go out. This morning she somehow managed to wedge open the door and sneak out! Luckily I found her hiding in the downstairs bike racks but still I am too nervous that someone will open the front door to the building and she'll be gone. So now I'm retraining her to stay inside my apartment and reminding myself that I have to be consistent for it to be any good!