As stated before, it's a form of respect, you went through the proccess of pushing the door, you might as well hold it for a couple of seconds.
I remember one time I was walking and there was a couple right behind me, I opened the door, and held it open, the girl was a stride ahead of the guy, she walks through and didn't say thanks or any thankful gesture, and the guy was about to walk through the door (had a "I'm a bad ass" look on his face, I can tell from his body language that he wasn't going to thank me or even make eye-contact with me), so I slammed the door right in his face and started walking away, he didn't even come after me 'cause he's a bytch.
** Moral of the story: if you're with your girl, make sure to walk ahead of her when you're at a door, and if some guy is holding the door for you, you should walk through, thank him, and hold the door for your girl. The guy is not a hellhop. (unless he is a hellhop, but that's another story lol) **