It could just be buildings are in different cells. I hope everything else is open in this game.
i see it working pretty much like Oblivion/Fallout handled it. the smaller settlements - places like Riverwood, etc. - will be open and in the world, though it goes without saying that they'll be a fair bit bigger than the boring three-house "villages" that dotted Oblivion's landscape - they'll probably be more like settlements in New Vegas.
the actual CITIES will probably be their own worldspaces, though with GI throwing around terms like "massive cities" i'm thinking each city will be split into multiple fairly large districts (palace district, market district, residential district, etc.) like the Imperial City was, though obviously with a more interesting layout.
i'd also like to think each city would have URBAN SPRAWL outside the city proper, so you'd see slums and farmland surrounding each city (like in the Witcher, for instance).