This phrase describes someone contacting you. They might literally come to your house and knock on your door, or they might contact you by phone, email, etc. People can "knock on your door" for positive or negative reasons.

It might seem like good fun, but one of these days, the police are going to come knocking on your door.

This isn't an everday expression. Use it when you want to sound especially interesting, like when you're giving someone advice. For normal situations, say that someone "contacted" you instead:

They contacted me to offer me a job.