He revealed Mr Trump's suggestion during a lunch meeting in Madrid this week.
Trump's proposed wall along the US-Mexico border, which spans 3,200 kilometres, could cost up to $20 billion according to some estimates.
Borrell continued: "Well, yes, it is way bigger than the border with Mexico, and in any case it wouldn't be very useful to do that".
The Spanish foreign ministry did not immediately respond to Euronews' requests for comment, however, a spokesperson confirmed to The Guardian that the minister made the remarks.More news: Should the Miami Dolphins be anxious about Josh Gordon trade?
Though estimates vary, U.S. Customs and Border Protection says that the border between the United States and Mexico is roughly 1,900 miles long.
Beyond the sheer size of the Sahara, the other challenge to building such a wall is the fact Spain would need permission to do so from the African countries the massive desert stretches across.
Trump campaigned for president on the promise that he would wall off Mexico to stop illegal immigrants entering the US. Mexico has refused and funding for the wall remains mired in Congress amid opposition from Democrats.
Spain is at the frontline of this issue, having overtaken Italy to become the number one point of entry for migrants coming to Europe by sea or by land from Africa. Prime Minister Pedro Sanchez faced criticism from some in June when he offered refuge in Spain to more than 600 migrantson a rescue ship after they were turned away by Italy's populist leaders.More news: Valencia vs. Juventus - Football Match Report
Spain also has two tiny northern African territories which border Morocco, Ceuta and Melilla.
The European country has seen over 30,000 migrants and refugees arrive by sea so far in 2018, making Spain the top destination for migrants arriving via the Mediterranean.
Increased numbers of migrants from Africa have been arriving on Spain's shores this year as Europe struggles to come up with a common strategy for dealing with their plight.More news: Sony Announces the PlayStation Classic