DOOR OF SMT ACFT DEPARTED THE AIRFRAME IN CLB AT APPROX 4000 FT. PLT ELECTED TO RETURN TO BDL ARPT.

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EARLIER THAT EVENING ANOTHER PLT HAD WRITTEN UP 2 DISCREPANCIES IN THE ACFT LOG. 1 WAS A FLAT TIRE (R MAIN GEAR); AND THE OTHER WAS A FAULTY CABIN DOOR WARNING SYS. A COMPANY MECH MADE REPAIRS; AND SIGNED OFF. HE AND I WERE BOTH SATISFIED THAT BOTH ITEMS HAD BEEN FIXED. AFTER TKOF WHILE CLBING ON AN APPROX HDG OF 250; MY DEST BEING TEB (TETERBORO; NJ); AND AT A POINT ROUGHLY 10 NM AWAY FROM HFD; THE CABIN DOOR WARNING LIGHT CAME ON. VERY SHORTLY THEREAFTER; I HEARD A LOUD NOISE. PAPERS STARTED TO RUSTLE IN THE R SEAT. MY HEADSET WAS NO LONGER ON MY HEAD. I LOOKED TO MY L AND COULD NOT SEE THE CABIN DOOR. I SUSPECTED THAT THE DOOR HAD SEPARATED FROM THE DOOR FRAME. I MOVED THE THROTTLES AND THE FLT CTLS AND THEY SEEMED TO WORK NORMALLY. I PUT THE HEADSET BACK ON AND TOLD THE CTLR THAT I WANTED TO RETURN TO BRADLEY (BDL; BRADLEY INTL ARPT); THAT I HAD LOST MY CABIN DOOR; AND THAT I HAD BETTER CALL IT A MAYDAY. I THEN MADE A NORMAL LNDG AT BDL ON RWY 24. I TAXIED TO MY USUAL PARKING AREA AND SHUT DOWN THE ENGS WITHOUT INCIDENT.