Basically, the spherical cow mindset of "just police the borders harder" is wishful thinking. The world is interconnected in multiple aspects, not just physical borders. Even if you succeed in immunising yourself from all side effects, your immediate neighbor may not be successful, and the instability can come for you through many mechanisms. Prices of food, breakup of the EU, wars, authoritarianism in your own society. Just look at Canada dealing with tariffs through little fault of their own. It's as easy as declaring yourself as immune from international instability.