Unlike Fences and Perimeter Walls, Brick and Concrete Walls may be placed indoors. Between Brick and Concrete, there is (currently) no difference except for how it looks. This is one of the 3 available walls that slow down escape tunnels. The other two being perimeter walls and brick walls.
You are also able to create concrete foundations; this feature was added in Alpha 22.
Concrete Wall is one of the four types of walls, the others being