Are you running AutoCAD or AutoCAD Architecture? So far as I know, only the latter will allow you to fillet Walls.
If you are running AutoCAD Architecture, are you using a profile that has the ACA.cuix file as the main custimization file? AutoCAD Architecture redefines the FILLET command to run the AECFILLET command, which adds Walls to the list of items on which it will work.
That redefinition is done in the ACA.mnl file, which gets loaded when the ACA.cuix file is loaded. If the main CUIX file you are using started out as a renamed copy of the ACA.cuix file, then the ACA.mnl file should also have been copied and renamed to match the CUIX file name (main part only, not the file extension). In older releases, the ACA.mnl file was kept in the same folder as the ACA.cuix file. The default location in Windows 7 is C:\Users\[USERNAME]\AppData\Roaming\Autodesk\ACA 20xx\enu\Support, wher "[USERNAME]" is your user name and "xx" is the last two digits of the release number ("14" for AutoCAD Architecture 2014). In the 2014 release, the ACA.cuix file remains there, but the ACA.mnl file has moved to a different folder. The default location in Windows 7 is C:\Program Files\Autodesk\AutoCAD 2014\Support\en-us, where the "en-us" folder name may vary depending upon the language for which AutoCAD Architecture was installed and your location in the world.
If you are unable to copy and rename the ACA.mnl file to match the CUIX file you are using, you could also try to just run the AECFILLET command instead (provided you have AutoCAD Architecture).
David Koch
AutoCAD Architecture and Revit User
Blog | LinkedIn