The Antonine Wall and Hadrian's Wall were built on geographical bottlenecks. To wonder why the Romans hadn't done the same across their continental frontier along the Rhine and the Danube, is like wondering why the US didn't build the Panama Canal across the US instead. The distances were far less manageable and the resources required to secure a frontier of that size would have been unsustainable. However, in addition to that, the Roman frontier on the continent was stable (for a while) along the natural boundaries of the Rhine and Danube rivers which provided a natural barrier about which the Romans worked to control crossing. Even with the natural barriers across their frontier, the Romans struggled and often failed to prevent incursions across such a long stretched border.

They did establish limes across the Rhine which took the form of major forts. They also dug ditches and erected some walls. These, however, weren't designed to keep the Germanic tribes out but more to act as an early warning system - each fort would have been visible to the next one down the line, allowing them to communicate if there were any issues.

If you're asking why they didn't build a wall across the northern end of the Italian peninsula, there's already the Alps there. Not much a little wall could really add to that in terms of defensibility.