Yes - Go to a fireplace screen dealer, not to home depot or lowes, and
ask for it. Its not expensive and a good idea. Should have come with
the door. It looks like yellow fiberglass (it is yellow fiberglass) and
likely has some heat treatment properties to it. It may also have a
sticky backing IIRC to attach it to inside of door. This is not to be
confused with the gasket material used to seal doors to air tight
inserts, that stuff looks like white rope.