Not always but sometimes i see zombies going trough walls like it's nothing.
I first saw this in a SE construction site, when a zombie went through the wall running towards me. I am also being chased inside houses all doors locked, seeing how the zombies get into the house going trough the walls.
I also tested once if zombies can open doors. While being chased by a zombie with 20m of advantage, i closed a tall blue metal fence of a garden, and the zombie went trough it like it's nothing.