Yes, there is. It's located in the bathroom, inside the closet area on the doorway wall to the beds.
When you enter the room, the safe should we open. If you follow the directions posted to the door, it will explain how to set your passcode and lock the safe. If I remember right, you shut the door, enter your code and hit lock. Then, you simply enter the code again to open the door. At the end of your stay, simply leave the door open again