Unless your MC is a wimped out loser who just says, "Well crap! We're tied up here and the bad guys are on their way to get the evidence that might have convicted them. We're screwed," and gives up, there is always a way out.
Allow me to repeat myself.
THERE IS ALWAYS A WAY OUT.
How are they tied up? Rope? Duct tape? What? Figure out what the weak points in that material are. A thin cord rope can be cut, all you have to do is find something in the closet that can do the job - even if it means MC comes out with bloodied wrists from using a jagged piece of broken glass to cut through the ropes. What kind of a building are they in? A house? A warehouse? An apartment building? An abandoned factory? A high-rise office building in the middle of the night?
Is it probable someone would come into the place and discover them? (Probably not or you'd have some pretty stupid bad guys.)
Are your hapless victims tied separately? Maybe hands and feet together behind each one of them but they are tied individually. The MC might make his way to the woman, feels his way to untie her bonds. Once she is loose, she reciprocates and they are free. Hands tied with a different rope from ankles and different ropes for each of them? This gives them a lot of moving room and more latitude for exploring their makeshift prison for tools to help free themselves and, if the MC or the woman is extremely flexible, he or she could work bound hands from behind to in front, free a duct taped mouth and, using teeth, free hands, feet and, ultimately, the prisoners themselves. Perhaps the hero and his damsel in distress are tied together, hand and foot, with one continuous piece of rope. There are weaknesses in that approach, too. Say there is a loose nail in the floor boards of the closet. Flexing the body can tighten or loosen the taughtness of the cords. In your case, you would want the cords to be looser so the exposed nail could be worked between the strands of the cord to loosen the knots and, subsequently, a hand could be worked free of the bondage and free them. And don't forget the woman, unless she's a total idiot, might come up with or discover the means by which to free them simply because men and women look at and approach problems differently. She could well be the wild card in their escape. Maybe she's wearing 4" heels and could get one shoe off, work it toward their hands, and the MC could use the heel (better yet, he breaks the heel to use the steel rod inside it, to work their bonds loose and rasp his way through the ropes. The broken shoe thing would add a delightful element of her hobbling out of the closet on one shoe and then hobbling about afterwards barefoot. (Adding an element of humor to a less than humorous situation is an excellent device.))
Obviously, many of the suggestions you have received simply will not work in your situation. (The "Three's Company" belt buckle, for instance, would only work if hands were bound in front of the MC and not behind him. Likewise, saliva on the ropes is pretty much impossible if the "expertly" tied ropes are not within 'spitting distance'.)
The one thing you want to keep in mind is to avoid the 'Deus ex Machina' feel of something too convenient to be believable. Make your characters sweat over this. Make them work for their own rescue. Maybe even argue their way to a, "Wait a minute. What did you say?" solution. Try to avoid cliche resolutions. But, again ...
THERE IS ALWAYS A WAY OUT... you just have to figure out what it is.
(Or a chainsaw-wielding mad man finds them.) Or the two characters have sex. 
That might get them out of those ropes! Sex and explosions. Bound to change things up a bit.
