With a wall you feel protect. The question is protected from whom?
Thinking that common people may be dangerous is not the right way to help man and woman who escape from war and poverty. They are looking for a better life, a job and a house.
To build a wall could slow down illegal drug trafficking but it couldn't stop them forever.
To control borders better might be a great solutions: in terms of money, to build a wall long 3.144 km it's more expensive than invest them in improving surveillance. If some soldiers will be placed in emplecements, they could check people, trucks and loads; if they find something wrong they could make some inspections, find out traffickers and arrest them.
Finally, I think it seems only a waste of money. Is this only a whim?