I'm sure it was in an anthology of short horror stories. I read it many years ago, and it has bothered me ever since because I don't remember the author or the title! Help is much appreciated. This is what I can remember from it:
two friends find a mysterious key, and they find out that it opens a hidden door (possibly in an alleyway)
when they open the door, they can see another world through it of rolling grassy hills under a full moon
they are given a choice by what I remember is a werewolf or dog-like being to become part of the other world, but only one of the friends accepts the invitation, transforms into the same kind of creature, and runs off into the world beyond.
the door closes and the key disappears, and the other friend can never enter their world since she/he refused the only offer