Depends. First, you don't build your wall in the floodplain; it could be washed away and then where are you? So it has to sit back from the bank of the river. For reasons of geology or topography it may have to be a considerable distance from the river. You don't plop down a thirty or forty foot high concrete wall on just any piece of land. It has to be able to support the weight. You could well wind up having to build the wall hundreds of yards from the geographic border, which means you have to buy all the private land between the wall and the border. So it's not as easy as you suggest.
Who said concrete. A double metal wall both encrusted with many yards per linear foot of razor wire with guard towers every so often to scan the middle plain would more than suffice.