I don't recall any terrorism events where it was determined the terrorist(s) crossed the Southern border illegally. And I have serious doubts that if a nefarious character wanted to conduct a terrorist operation in the USA, that this effort would be prevented by a wall on the southern border.
I guess this is what Trump imagines happening in the minds of would-be terrorists:
"Oh darn!. We've got this really sophisticated terrorism plot that all hinges on being able to enter the USA illegally across the southern border where there is no wall, but darn it all! They put up a wall, so I guess we'll just have to abandon our terrorism plans, be nice to people, love humanity, and go play golf instead."