Basically electromagnetic waves have many frequencies.Most objects block only certain narrow frequencies. Most objects in universe, and in earth, happen to block frequencies that correspond to visible light.
Either we adapt to fail to see through wall, which is a biology issue. Or there is something about the frequencies of visible light that make it impenetrable to it.
What is it?
What is so special about 300 nm to 900 nm that most light can't penetrate most objects on earth?