This is plainly not true. EU has a lot of its own walls. It's just the fact that it lacks long land border with countries from which major migration flows originate is what makes it a lesser topic for debates.
Why do you think migrants coming from the Middle East prefer to cross Aegean sea, instead of going by land? Because land border is all fences, barbed wire, and even landmines with not a single gap.
And limiting migration is very hot political issue in many EU countries currently.