Why might governments put up walls on their borders?

To keep illegals out. If someone who is not a citizen or resident of a country illegally comes into a country, they will not be able to pay taxes or other bills. They may have jobs and be successful businessmen as any other person in the country, but they will be living here for free. Therefore, governments may want to secure borders in order to prevent this from happening.

To have the ability to keep a proper imigration system in place