Robins nest

Hi, 

We have a Robins nest in our shed (no eggs yet). I'm thrilled but they can only get in and out if the door is open. We live in an urban area and can't leave the door open due to security. I asked him if we could drill a little hole for them and he said absolutely not =(

What should I do? Should I remove the nest before there are eggs? This will break my heart but not as much as abandoned eggs....

Thanks