Dog Whines When Left Outside?

I just recently got a 15 week old full blood Pit. He isn't a rescue dog, although he would have been taken to the pound had I not gotten him when I did. He is awesome except for when I have to put him outside. As soon as I close the door he immediately starts whining as if he is dying in pain.

How do I stop him from doing this? He is never outside alone because I already have 2 Shepherd Lab mixed dogs. I made sure he was comfortable with them before leaving them alone together. I make sure he has food and water, plus toys to play with, so why is my dog still whining?