This is an Icelandic folktale. There was a farmer and his wife who lived out in the countryside. They never locked their door at night. One night an extremely large, gray man appeared. Without saying a word he went to their pantry, sat down and drank their milk. He then left.
The second night he came back, drank the milk and left again without a word.
The third night he came again, drank the milk but as he was about to leave he turned around and addressed the farmer and his wife: You would do well to lock your door, there are a lot worse things out there than me.

This a myth about Iceland’s hidden people. It illustrates the relationship between the people of Iceland and these fairy-like creatures. The farmer and his wife know the spirit keeps returning to their house, but they allow it and see the visits as benign. However the story is also a cautionary tale, and could be a bogeyman-type story to caution or encourage children, or even adults, to keep the doors of the house locked. The myth observes the rule of 3, which is predominant in the West.