The momentum of a wall during a collision with a ball is explained through the principle of momentum conservation. When a ball with momentum +mv collides elastically with a stationary wall and rebounds with momentum -mv, the wall experiences a total momentum change of +2mv. Although the wall does not move due to being fixed, the momentum is transferred to the entire structure and ultimately to the Earth. The discussion emphasizes that while the wall itself does not possess momentum, the system as a whole conserves momentum. This illustrates that the wall's reaction is crucial for maintaining momentum conservation during the collision.