Shri Kaal Bhairav is also known as Kshetrapal and he is regarded as the guardian of the temple that is why the keys of the Kal Bhairav temple is to be kept at the temple premise at night and no one should carry it elsewhere.
Also at this temple of Ujjain, liquor is offered as a part of the ritual to Kal Bhairav then distributed as is the only stone Idol of Indian God, which drinks several some times hundreds of bottles of liquor in a single day. You may find it amazing weird, but it is absolutely true. What happens is that the temple priest keeps the dish plate filled with liquor near the mouth of the deity and the stone image of deity starts sucking the liquor from the plate slowly the liquor starts decreasing and the priest takes back the plate when all the liquor is finished. As you can see in the video, all this is true, what would you say to this type of Miracle of God..