He doesn't like it when we are outside!

My husband and I moved to a house with a deck this summer. My husband is a smoker and goes out on the deck to smoke and I go with him sometimes. Rocky has started a new habit of jumping up on the screen door- kinda like a dog and clawing at it. Luckily it is a pane window on the bottom. He then meows pitifully until we come back in. Of course I feel bad and tell him I'll be back soon. He has always been a ham and a very friendly cat. He will show up at the door no matter if I left him in a room or if he was off doing something else when we went out. It is kind of cute but very distracting and I always end up feeling bad for him. Any one have any ideas why he is doing this?
BTW he is indoor and has another feline family member.

Why not get Rocky a harness and leash and take him out with you for a little visit. Don't leave him out unsupervised as you probably already know.

Who knows why they do it? They probably think you are doing something fun. They can be in a living room but if I shut the bedroom door they will be scratching at it. He probably feels left out of whatever it is he thinks you are doing. Maybe you could take him on a leash with you.

thanks for the ideas. He did it again just now. Problem is it hardly seems worth it to take him out on a leash for less than 5 minutes. The only other thing I can think of is that there is a neighbor kitty that comes by sometimes but it doesn't seem to matter if she is around.