You have been to the cinema to watch a 'thriller' (some kind of psychological drama, involving a lot of tension and/or adrenaline): on your way out, among quite a large and volatile crowd, you pass a doorway ~ presumably leading outside into the open air ~ equipped with a crash-bar and a sign which reads:
'Emergency Exit Only : This Door Is Alarmed.'
Your British companion laughs as you point to it: why?
It would be possible to leave the cinema that way, but you could get into trouble if this is not an actual emergency.
Your friend thinks 'alarmed' is a funny way to describe a door in a cinema where they have been showing horror movies, because, surely, not even the building can feel frightened.
If anyone tries to come back in through the doorway (perhaps intending to see the film without paying), various bells and sirens will immediately start to sound. (Maybe your friend tried this once, and has uncomfortable memories of the experience?)
Your friend is imagining the emergency services (as in the climax of the film) coming in and out through this doorway.