A.B.
I can completely sympathize! I went through this same struggle w/ my son. The technique that seemed to work the best for us was the following:
Everytime she comes out of her room, do not say anything to her, do not look at her and just simply walk or carry her back to her bedroom and place her in bed. Do this on Repeat as many times as it takes. Repeat each night until she gets the hang of it.
I'm not sure what your parenting style is or if this approach seems "cruel" but it really worked for us. I would actually tally the number of times I had to carry him back into his room. The first night, it was something like 30-50 times and then maybe 20 the next night and then 10, and eventually down to a couple times before he eventually got it.
Good Luck!! I know how incredibly frustrating it can be!!!