There are no rooms, only rather big areas. The loading only occurs when you go from one area to the next (eg: Baker Street to Scotland Yard)What about the load times? In one review they mentioned that they are horrible (PS4). The areas are quite small but despite that, loading screens between 10 and 20 seconds with every room change.
I have an SSD installed on my PS4, so I'm not sure if I'm a reliable judge but the shortest amount of loading has been 2 seconds and the longest had been 10 seconds.
Fortunately, there's still some 'agency' in the loading screen...which is basically Holmes and Watson sitting in a cab. You can check your notebook, make adjustments on the deduction board etc.