F-406 CARAVAN CREW DOOR WAS NOT PROPERLY LATCHED AND SEPARATED FROM ACFT DURING CLIMBOUT.

Narrative

I WAS THE PIC ON A CHARTER FROM ZZZ TO ZZZ1. SHORTLY AFTER DEP OF RWY 24 AND RAISING THE LNDG GEAR A 'DOOR WARNING' ANNUNCIATOR ILLUMINATED. PER THE POH PROCS I LOWERED THE GEAR AND KEPT THE FLAPS DOWN TO REDUCE MY AIRSPD AND PREPARED TO LAND BACK AT ZZZ ARPT. I LOOKED DOWN AT THE CREW DOOR HANDLE AND NOTICED THAT IT WAS COMING OUT OF THE FULLY CLOSED POS AND AIR WAS BEGINNING TO COME THROUGH THE BOTTOM OF THE DOOR. I FELT THAT THE DOOR COMING OPEN WAS IMMINENT AND THOUGHT IT WOULD BE SAFER TO HOLD THE DOOR CLOSED. AS I WAS ATTEMPTING TO GRAB THE HANDLE ENOUGH AIR CAME THROUGH THE BOTTOM OF THE DOOR TO CAUSE IT OPEN STRAIGHT UP AND SEPARATE FROM THE ACFT. I CONTINUED THE L TURN AND LANDED ON RWY 6 IN ZZZ WITHOUT FURTHER INCIDENT AND CALLED THE BASE. THE ACFT WAS LATER FERRIED TO ZZZ1 AND THEN THE NEXT DAY TO ZZZ2. I BELIEVE THE HANDLE ON THE CREW DOOR SHOULD HAVE BEEN DOUBLE-CHKED TO ENSURE THAT IT WAS COMPLETELY SECURE AND NEVER TRY TO CHK THE SECURITY OF THE DOOR IF YOU GET THE ANNUNCIATOR LIGHT.