Because we're America goddamnit and we build tall stuff for a living
I know, but the whole appeal of building a wall is purely psychological. Armies of experts and skeptics have poked a million holes in it, and there has been absolutely no response or comment from the Annoying Orange team on how their wall will avoid problems like tunnels, ladders, and vandalism.
If you want me to give Annoying Orange credit, I'd like to think that the whole 'wall' is actually more-or-less an economic move. He's trying to stimulate the economy by throwing more money into infrastructure (whether that's necessary or not is debatable since we aren't in a recession anymore). But the problem is that there are huge areas of infrastructure that could be improved with that money.
Like Flint's corroded water pipes for instance.