The OP is sane; perhaps y'all have never played far enough to get to this point or something?
Walls do go "obsolete" in the sense that once you've invented (IIRC) Civil Engineering, all your cities automatically get max-strength "walls" that auto-repair themselves in terms of siege mechanics, but these "modern walls" are not visible "buildings". There was even a bug related to this, where if you had a damaged wall when you invent Civil Engineering, you had an item to repair the wall in your buildable list but it was greyed out forever.
This could probably be modded, if you find somebody with the same sort of visual completionism streak to do it for you.