Walls require a lot more effort. Experts and architects to design the thing, land which is both expensive and sometimes tricky to acquire, and materials and hard physical labor which is also costly.

Rounding up illegals just requires some willing thugs, some weapons, vehicles, and maybe a dumpy place to drop them while you wait for them to be cleared across the border. I’m willing to bet there’s plenty out there who would do this for free, and even happily provide their own equipment.