I could be wrong, but I think Congress has appropriated money for the wall. They just won't build it. Without federal permits, it's not going forward. I also seem to recall that at least one section was built. It was quite short, and I think the cost was $3000 per linear foot.
The US government will not permit border security. They want the situation we have right now.
You could build the border on private property with the permission of the land owners.