Here's a question: do Mexicans think a wall will slow down illegal immigration? I think the clear answer has to be yes, they think it will. Otherwise, why would they be getting upset about it? Mexico relies upon illegal immigration to the US. Immigration from Mexico to the US is a safety valve which removes malcontents (created by Mexico's own internal problems), and the money they send back from the US represents the one of the largest industries the country has (larger than oil, IIRC). They don't want that decreased, and if the wall had no chance of impacting illegal immigration, they wouldn't be getting upset about it.