They estimate it would cost over 25 billion.
For the sake of the argument, lets say he does go through with this.
Where in the world would he get over 25 billion dollars? Not to mention it would increase the amount of debt America is already in over some silly (almost petty) wall. This would be the equivalent of some five year old getting a stick and drawing a line in the sand and going "you shall not cross this line!" Except it would actually cost money to build of course.
Can you even imagine what it would be like trying to maintain this wall!? You would be trying to fairly regularly maintain a wall roughly the size of the great wall of China (relatively speaking of course).
I could go on and on but I'm going to keep this short, the problem isn't necessarily the fact that he said this, the real problem is what would have happened if he actually meant what he said.