Environmental Lighting shines through objects

Hi all.
Why does Environmental Lighting shine through objects?

For example, if I make a cave with no means reaching the surface, the environmental lighting from the SkyBox illuminates the entire cave.

This poses a problem for me when walking from an outdoor scene to an indoor scene where I need environmental lighting outdoors, but not indoors. The sun for example should not shine though a room with no windows. Yet it does.

Regards
James.