It didn't seem as if it was able to create a hole whenever it wanted. Early on, when Will's mom is standing in the living room by the wall, the Demogorgon wasn't able to come through. It was only able to push the wall out a bit, but never actually broke the dimension. It seems as the show went on and it became stronger. Still, it was only able to break through at the smell of blood. Maybe blood was the only way he was able to sense through the dimensions seeing as 011 would bleed every time she used her powers. Maybe that explains how it was able to sense her when she first went into the deprivation chamber. Hopefully, this will all be answered next season.