Kierkegaard scholar C. Stephen Evans writes: “Kierkegaard speaks of this split between what one is and what one knows one should be as a wound, and says that it is the mark of the truly moral or ethical person to ‘keep the wound open.’ and not bandage it with superficial palliatives.”
In other words, it is painful to recognize sin within us – it hurts. And we live in a culture that wants to psychologize and medicate any kind of pain (even good pain) and convince us that we are really OK and good – it wants to kill the vestiges of sin by telling us there is no such thing. So we are taught to put band-aids on this wound, and to kill the pain through endless rounds of business and distractions that never give us time to rest and feel the pain of our sinfulness.
So Kierkegaard (who primarily wrote against the shallow superficiality of cultural Christianity in his day) is wise to warn us to “keep the wound open.” That way we are wary of pride and constantly reminded of our dependence upon God’s grace.