Slant Magazine gives it 2 out of 4 stars, condemning it as "just another male menopause movie, marred by unlikely dialogue and hokey theatrical symbolism." DVD Talk describes it as "120 minutes of uneventful storytelling." Bright Lights Film Journal compares it unfavorably to Wenders' early films and says,
Wenders has a great visual eye, and the look of the film can't be overpraised: ... The clean, pristine images from cinematographer Frantz Lutzig of these settings are magnificent — but if only Wenders had trusted his visual strengths and dispensed with the redundant, wordier parts of his screenplay.Spirituality and Practice says, "Don't Come Knocking has the quirky characters we've come to expect and relish in a movie directed by Wim Wenders." Roger Ebert concludes, ""Don't Come Knocking" finally doesn't work for me, because instead of embodying its themes it seems to be regarding them from outside, with awe, as if it is the high school production of itself." It was not popular with critics and has a critics score of 42% at Rotten Tomatoes.