It would be probably cheeper - simply because the perimeter would be shorter than the sum of perimeters for most of buildings included in the city/district. That is what cities did since at least Neolithic til moment when cities become undefendable (because of cannons and airstrike).

But that is probably not the point. In order to build wall around the city, you need to have power or consensus in society to deliver this decision. And achieve that in reasonable time might be unreal for someone in charge of one building.