I've done some research into the matter. The california border is roughly 840 miles long. The US-Mexican border is 1933 miles long. The wall for mexico is estimated to cost 70 billion dollars, however the california wall would be around 40 billion as its 46% shorter than the mexican-US border. 

Now if that hasnt sold u on it yet maybe this will.
 
 
 
Mexico has about 500k immigrants come over to the US every year. HOWEVER. 1 million Californians leave to other states every year. Therefore the choice is obvious. The wall is cheaper. Keeps out people who are actually harmful to the other US states and Drivers around the country will crash less