When I sit in a room I can hear voices coming from the adjacent room but the light in adjacent room does not enter my room i.e. sound waves travels through the wall but light waves can't. Why?
Whether any form of wave can pass through an object depends on how strongly that wave is reflected, scattered or absorbed.
Sound waves are certainly reflected by a wall, otherwise you wouldn't hear an echo from it, but not all the sound is reflected so some travels into the wall. Whether the sound is scattered and/or absorbed in the wall depends on what the wall is made from. Remember that sound is a mechanical vibration. The sound hitting the wall makes the wall vibrate and the other side of the wall makes the air on the other side vibrate. A good solid wall won't disperse the vibrations too much, so you will get some sound through it. A wall filled with e.g. fibreglass insulation, will absorb the sound far more, so it will transmit less sound.
Light is also reflected by a wall, otherwise you wouldn't be able to see it. How much light is reflected depends on the wall: a white painted wall will reflect more of the light than a black painted one. However the dominant interaction with the wall is probably scattering. If the wall was made of glass then obviously the light would pass through it. A concrete wall is made from miniscule grains of calcium carbonate and aluminosilicates, and while these materials are transparent to visible light, reflections from all those grain boundaries scatter light strongly. If a concrete wall was very thin e.g. 0.1 mm you would still get some light transmission through it.
Response to Zeynel's comment:
Consider a microphone. Sound waves consist of to and fro oscillations of air molecules, and if you sit at a fixed point in space these to and fro oscillations create oscillating pressure changes. A microphone works because when the pressure is high is pushes the sensor in the microphone back, and when the pressure is low it pulls it forward. The end result is to make the sensor in the microphone oscillate in time with the wave, and in the microphone this movement is used to create an oscillating electric field.
A microphone is designed to be very sensitive to changes in air pressure, and a wall is not. Nevertheless, even a solid wall is elastic in the sense that it deforms when you push on it. So a wall will also move in response to the oscillating pressure created by a sound wave. It will move much, much less than a microphone sensor, but it will move. If the side of the wall facing the sound wave oscillates then obviously the of the wall will oscillate as well. This behaves like a loudspeaker, i.e. the opposite of a microphone, as the oscillating surface of the wall creates an oscillating pressure in the air next to it, and this creates a sound wave. That's how the sound gets through the wall.
Re your last comment "if we said some of the sound waves passes through the wall": you need to remember that a sound wave is not a thing. It's just the movement of something else. In air a sound wave is a movement of the atoms in air, and in a wall a sound wave is the movement of the atoms in the wall. It's true to say that the sound wave passes through the wall, but it's the vibration that moves through the wall not anything you could point to. In this respect sound is completely different to light, where in principle you could follow a photon as it moves between different media.
This is because the wavelenghth of sound is greater than the wavelength of light. High wavelength radio waves can easily be recieved in a closed building, at the same time ultrasound would not pass obsatcles separating two rooms.
In general, waves can pass through obstacles that are comparable with the wavelength in dimentions.
If you can hear voices (higher frequencies) then the sound is likely not going through the wall, but instead through tiny cracks or air passages. These could include the crack under a door or even the crack surrounding the door in the frame itself. Any exposure like this can allow sound to pass, albeit perhaps at a lower level. If you really had a solid wall, with no cracks whatsoever, you might he the bass tones of speech, but could probably not discern a conversation. Thick walls pass lower frequencies better than higher ones.