No-borders only makes sense with anarchy or with global government. If there is more than one government in the world, they will have their own jurisdictions. Borders are the lines people use to separate jurisdictions in physical space (there are abstract separations as well).

The border between the US and Mexico exists because the US and Mexico have different laws (including taxation and benefits). The border is where the US and Mexico have negotiated that one's rules stop holding and the other's rules start holding.