Learn English – Left the car key on/in the door

If you sit on the roof of your car when you go to work, it's correct.

If, like the rest of us, you sit inside the car behind the steering wheel, you would say

I always go to work in my car.

When talking about modes or transport, you can use by

I always go to work by car

I always go to work by train

...note that there's no "my" here, because we are talking about a mode of transport not a particular vehicle.

Both are correct and, absent additional context, are very close in meaning. They do not, however, mean exactly the same thing.

He knocked on the door gives a slight emphasis to the physical act of knocking by focusing on the object subjected to the knocking.

He knocked at the door gives a slight emphasis to the social act of waiting for an invitation to enter the premises by focusing on where the act occurred.

For example, it would sound very odd to say He knocked at the door and then immediately kicked it open.