A "panic room " is nothing more than your last-ditch effort at survival. Panic rooms can be any combination of "people proof", "weather proof", "radiation/blast proof" or some combination of them all. Security is like speed; how fast you want to go is directly related to the size of your wallet.
Assuming you have the space, you can build a very secure room quite easily. Room should not have any of the four walls touching the outside world. I.E. somewhere in the center of the home. All four walls, ceiling and floor (if not on ground/basement level) have rebar-reinforced concrete walls. Electricity run to the room but enough battery-powered light to last awhile. A few gallons of water, some beef jerky or MREs and a bucket for a toilet. A vent to the outside world that can be closed if necessary. One way in or out and enough food, water and ammo to last a few days. With the above you're good for a week. You probably wouldn' t be sane, but you'd be alive.
This "room" can be a 5x5 walk in closet if need be. It's not that hard. Just takes space and money.