When you leave your house do you lock only the front door and leave the back door open?
Mexico is a Third World country. The vast majority of illegal aliens are coming from Mexico and Central America. Canada is a developed country with a standard of living similar to ours. They have control of their borders and immigration system.
It would be dumb to construct a wall on our Northern border or to devote the same resoures to control it. In fact, Canada has more to fear from being invaded by the illegals transiting the US. We can't control our Southern border nor do we track and deport visa overstays who comprise 40% of our illegal population.