RV-10 pilot reported a cockpit door malfunction during the initial climb which caused the door to open in flight. The pilot returned to the airport and landed.

Narrative

On departure from ZZZ during the initial climb to 1000 AGL the pilots door opened. It wasn't fully secured. I immediately stopped the climb and slowed down to avoid the door from departing aircraft. My headset was blown off my head. After I stabilized the plane at a slower speed and descending I put the headset back on and called Tower. I couldn't hear the Tower well due to the wind. I told Tower I had an issue with the doors and need to return and made a left 180. They said something about Runway XX and I asked if I could land in the opposite direction to which they denied. I think in retrospect I should have called for priority handling. I still had control of the airplane but was not sure what will happen to the door if I continued. I began to fly back to the airport and began to descend. There was lots of drag and I was just focused on maintaining 85 knots. Too much speed may cause the door to depart and too little will bring me to close to stall speed. Tower told me left downwind Runway XX so I entered downwind; close to the Tower and very low. The lowest altitude was 300-400 AGL. Tower called me to remind me of my altitude. They cleared me to land and I did uneventfully. When turning off the runway my plexi window fell off. I told Tower and they said they will send someone to retrieve. I told them it was not on the runway but right at the threshold. After parked on the ramp; they sent someone to take pictures.In retrospect I should have immediately called for priority handling which would have framed the situation differently. If the door did depart (as the RV10 sometimes do) the situation could have been worse.