Should housekeeping knock, yes.
Should you put the DND sign on if you don't want to be disturbed, yes.
Should you lock your door if you could be walked in on, yes.
You say you were not long out the shower, if they had knocked when you were in the shower you would not have heard them and they could have walked in on you then!
While I agree they should knock I must say on this occasion it seems housekeeping may have more reason to complain about you than you do them!