I assure you what you think is the main shutoff is not. The main is installed by the gas company and they do not install them indoors. You might have a shutoff in the closet, but it is not the main. If it is, contact the gas company. they will fix it(but again, it isn't the main).
The gas shutoff you see is what is used for repairs and such. The main outside is what the gas company uses to shut off your gas in event of fire, leak, or non payment. They have to have access to it 24/7 and it is THEIR property, not yours.