Hi,
I believe what you are referring to is a joke that people say. Someone will begin by saying "Shut the f..."; the person listening will assume they're about to say "shut the f***(*) up" but instead, will say "shut the front door", unexpectedly receiving an irrelevant command rather than an insult to shut up. It is for the shock value. I guess some people just say "shut the front door" instead of saying "shut the f*** up" if they're very surprised, because if someone hears information that is surprising to them, they may say "shut up!", like "no way!" (no way that is true).
Some context would be a little helpful but I am sure this is what you're referring to.
(*) this is a four letter curse word.
Thank you so much