Ever heard about the Limes in SW Germany?
As the gentleman on the left has already remarked - a comment, which seems to have gone completely unnoticed! - the Romans have not failed to embellish their borders with wall and moat installations.
We might argue to what extent these installation are "great", or "as great as the Chinese wall". We might even argue what would have happened if the Romans had made the effort of even "greater" walls.
But I do not think a connection of these wall projects by a very long line throughout Europe (and beyond) would have made any sense.