An interesting question, some say that we may actually do this without realising it. It is only our belief that the wall exists that makes it real for us. If this is the case we could walk through a wall only if we had no knowledge of its existence - an unlikely situation, but what is more probable is that we walk through closed doors, we believe they exist, but if we are also convinced they are open when they are not we could walk through the doorway (and door) without harm.

This seems crazy at first but if you think of how little actual matter there is in a door or a person (because of the relatively huge distances between atoms and vast distances between the electrons and the nucleus in atoms*), one can imagine them passing through each other without any collisions between these particles - in the way marching bands pass through each other during displays.

*How much matter in a 200lb man, a fairly big fellow? He would consist of around 30 milion billion billion atoms, if all of the atoms were pushed together and the electrons, neutrons and protons were squashed together so they were touching the volume would be 0.00000000000009 of a liter (0.00000000000016 pints). That's not a lot!