I agree with the above if you're a beginner or trying out a new technique. Like said above, you control where the ball goes which makes it easier to work on technique. Naturally you will tend to make the ball bounce back into your strike zone, the area near your body where you're most comfortable making contact with the ball. The problem is when you play actual tennis with someone, the ball will not be in your strike zone very often and you will have a hard time adjusting to that if you only practice against the wall.
Short story short, practice a little against the wall to become comfortable with a stroke, then get out on the court and work out the kinks.