The level of your walls affects the range of your defenses (archery towers) and your garrisoned archers also shoot further. The level of your walls also affects how many defensive structures you can have on the wall and how many structures you can queue up to build. For example a level 9 wall can have 14,692 ATs. A level 10 wall can have 18,166 ATs.
It is assumed the wall bonus is similar to an archery bonus. It is assumed that you receive a 5% bonus per level of wall just like you receive a 5% bonus to your range based on your archery level. I’m not sure if this is true or not but if someone can verify the numbers I’d love to know what they are.