It's a bit disingenuous to compare the Chinese experience with the Roman experience because the Chinese only really needed to concentrate forces on one front - Mongolia, and even that was against relatively unsophisticated raiding nomads. Plus in any case, the Great Wall is not so much one gigantic undertaking as a system that was built up over hundreds of years by the different Warring states, which were then roughly linked together when the Qin united the Empire in 221 BC.
In the German and Danube front, Rome in the early days placed the border on rivers which would then be patrolled by fleets ('classis') and regularly-spaced forts, which must have been cheaper to maintain than a massive wall. Even in places like the gap between the Rhine and the Danube the Romans relied on a narrower spacing of forts, situated on strategic points (like the Neckar Valley and the Odenwald), although by Hadrian's time they did build a wall there.
Dacia is an interesting point because on a map it looks like an unsightly salient jutting out from the Danube. However its strategic function is more nuanced than that and I buy Luttwak's argument (in 'The Grand Strategy of the Roman Empire') that Dacia allowed the Romans to project power in between the two hostile Sarmatian tribes - the Roxolani and the Iazyges - and prevent them from uniting together to cross the Danube. In a sense, therefore, Dacia was the Danube frontier's wall.
The system of limes has been described by other people on the low-intensity fronts of North Africa and southern Arabia.
For the main Eastern front on the Euphrates/Armenia, early Rome relied on client states (e.g. Osroene, Herodian Israel, Armenia) to 'absorb' Parthian attacks and in a sense, therefore, these were Rome's walls.
In Later Rome, given the huge distances on the Eastern front, the mountainous terrain of Anatolia where armies can only traverse through a few passes, and the increasing siege sophistication of the Late Parthians/Sassanids (which the Chinese never had to deal with regarding the Mongolian nomads), it made more sense to concentrate forces in a few 'fortress cities' (Antioch, Nisibis, Samosata) than to spread them out across a wall, which would allow the enemy to concentrate force while spreading Rome dangerously thin.