They are also walking across the border BECAUSE THERE IS NO WALL THERE.
A wall is fine where it will work (there are hundreds of miles of wall already, between 607 and 1000), but without enforcement of laws, magnet removal and true policing of the border, they tunnel under, climb over and fly over, and they're waved by at official crossings where there is a wall, or not be sent back when they've made it in illegally (even after committing crimes).
And it's important to acknowledge the VAST numbers who "overstay" their travel and student visa and just stay.