To keep bad people out. I hear you can still go on tours once you've been checked out. Apparently you enter legally through these things called gates.
I was sure the government said walls don't work in the way they say this one will.
Edit: I know a lot of people don't think a border wall is important or possible. If you're not living in a border state you probably don't know how much crime happens as a result of illegal aliens. 600,000 crimes in less than 10 years in Texas alone. But who cares, they're all good people who just want to provide for their families.
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A wall would keep illegal transgenders out too. But not illegal attack helicopters so we need a giant net in the air too. [spoiler]heliphobic[/spoiler]