Either the master control valve of the lock system is bad. Or one/more elements in the doors is bad. a Mityvac is helpful in diagnosis.
Since it happens with the doors unlocked. First check the master lock in the drivers door for a leak. If it's ok then you will have to check the elements.
A large leaking/problem diaphram will allow all the vacuum to be depleted.
Check the vacuum pump first. Should be 22-25 inches of HG. Then follow the SM on central lock testing.
I am assuming the W123.
Yellow/green is open and yellow/red is closed IIRC. The test for the central lock is done at the drivers floor, and the trunk/rear.

Read this section on the setup and operation of the system.

http://skinnerbox.steaky.org/Service/W123/Index/Groups/80CentralLockSystem.htm

Dave

__________________
1970 220D, owned 1980-1990
1980 240D, owned 1990-1992
1982 300TD, owned 1992-1993
1986 300SDL, owned 1993-2004
1999 E300, owned 1999-2003
1982 300TD, 213,880mi, owned since Nov 18, 1991- Aug 4, 2010 SOLD
1988 560SL, 100,000mi, owned since 1995
1965 Mustang Fastback Mileage Unknown(My sons)
1983 240D, 176,000mi (My daughers) owned since 2004
2007 Honda Accord EX-L I4 auto, the new daily driver
1985 300D 264,000mi Son's new daily driver.(sold)
2008 Hyundai Tiberon. Daughters new car