I think it's generally custom to have room numbers written (usually at checkin, they won't even say the floor number anymore, and just write the room number on the key sleeve jacket) for privacy/security reasons.

Though now that I think about it, I'm pretty sure there are concierge lounges/MClubs that have an attendant at the doorway where they've verbally asked me for my room number. Usually there's not a line so there's not other people to eavesdrop, but I suppose bringing the key sleeve might be useful in this case to just show the number instead.