We do use it, when we want to make a definite reference to it.
Where can I find the room 401?
This is a natural, grammatical sentence in English in a given real world communicative context. Hotel desks hear such sentences all the time.
When might a speaker ask this? Offhand, I can think of two or three examples, and there are probably more. I will stick to just one.
Let's say a person is walking down a hallway and sees Room 351, 371, 391, 411 but fails to find/see Room 401. He sees that the others exist and reckons that 401 exits also (maybe he knows it exists or only hypothesizes that it exists), but he is licensed by Engish grammar to go up to the information booth and ask:
Where can I find the room 401?
The phrase the room 401 can be taken as an elision of some such phrase as the room called 401, the room designated 401 or the room numbered 401.
If 371, 391 and 411 exist, he has every right to think, believe, assume that 401 exists, and so he can ask about it using a definite reference to it even though he has not found it.
The above is an unforced, natural (grammatical) complete, actual, natural, contextual, meaningful sentence, based on the communicative intention of the speaker.
The speaker, in the same context, could also, if he so desired, make an indefinite reference:
Where can I find a room 401?
Here, perhaps the speaker is a little less sure that 401 exists.
Incidently, suppose a guy is at a huge apartment complex and he is looking for Building 401. Let's say he can find Buildings 101, 201, 301, 501, you get the picture. In this scenario it seems more natural to me if he goes up to someone, anyone (guard, information desk, receptionist, passer by) and asks
Where can I find a Building 401?
or
Can you tell me where I might possibly find a building 401 around here?
I think he is probably less sure that 401 exists as a building in this scenario than he is sure that 401 exists as a room in the other scenario. For whatever reason, asking about the room 401 seems more natural and likely than asking about the building 401 even though the mental contexts are similar. Is this because not being able to find a building is less excusable than not being able to find a room?! But even asking about the building 401 is grammatical and possible.