Some actors are very shy and will find another way out of the theatre. Christopher Walken left via the front door of the theatre many more times than through the stage door for instance.
Be polite. Smile. No hints of stalking.
Do not assume that the actor wants a new friend.
Do not try to get inside the theatre. It doesn't matter if it is raining.
The actor has somewhere to go even if it just home alone with a good book. Do not be offended if they cut time short.
Years ago, I was a stage doorman and I saw all types.
"If my life weren't funny, it would just be true. And that would be unacceptable."
--Carrie Fisher