How come on a 2002 GMC Denali if you lock your key inside

Try this forum in link below, may be helpful.
press the helpful button
Programming Remote Start Key Fob Page 2 Ask the GM Technician

You have to hit the lock button and then hold the start button.

try replacing battery in the keyfob

It's kind of mix problems , there is two kind of alarms
1...one for burglars alarms if someone try to break window and unlock from Inside lock
2....alarms for car finder on key fob

You have to click "lock" first, then hold the "start" button.

sounds like the security,if you got a key fob,use it (assume u would have done that)
Try locking then unlocking the drivers door from the outside with the key,should turn the system off

This solution applies to models:
2002-2007 Chevrolet Trailblazer, Trailblazer EXT and Trailblazer SS
2004-2007 Buick Rainier
2002-2007 GMC Envoy, Envoy XL, and Envoy Denali
2002-2004 Oldsmobile Bravada
2005-2007 Saab 9-7x

Condition/Concern:
Rear liftgate glass will not lock when using the key fob or door switch unless the lock button is pressed a second time. All other doors will lock normally. This could be the result of the liftgate glass lock rod not adjusted correctly. This lock rod travels from the liftgate lock actuator to the glass release push-button cylinder.

Recommendation/Instructions:
Remove the inside rear liftgate trim panel. Disconnect the threaded lock rod clip at the end of the push-button glass release and rotate this clip 1 complete turn at a time making the lock rod longer. This will be the only threaded lock rod visible when the trim panel is removed and the liftgate is raised.
Note: For the rear glass to release, the rear liftgate latch must be in the closed position. For test purposes only, this latch can be made closed to make this lock rod adjustment.

Please follow this diagnostic or repair process thoroughly and complete each step. If the condition exhibited is resolved without completing every step, the remaining steps do not need to be performed.

Check the buttons.. I have an 06 Grand Prix with the Remote starter on the top and it seems that the conductor on the buttons worn out.. Take the keyfob apart, pull the rubber buttons off the chip, lick your finger and touch the place where the unlock (right side of the fob) would be. That should unlock your doors. I just did it with mine. I would just buy another fob on ebay and change the buttons out.. Hope this works

It is located under the cup holder in the middle console.

Seating in the drivers seat , make sure all doors are closed.Insert key into ignition, don't turn on yet.
Wait for the dome light to go out, then press and hold the door unlock button , make sure it is UNLOCK, while turning the key ON OFF ON OFF Twice , do not engage the started, just on to the point of being on. Release the unlock button,and your doors should lock, then unlock indicating programming mode.At this point hold down both the lock and unlock button on the key fob. After 30 seconds your locks should lock and unlock, indicating the fob is programmed. This must be repeated for all remotes, whether or not it be new or old. After all remotes are programmed, turn the key off and on again to exit programming mode.