Most cells don't have cell walls, typically only plant species / fungi and some bacteria do. I think the confusion here is due to the term 'cell wall' which has a very specific meaning in biology and doesn't just denote the outer parameter of a cell. The 'cell membrane' is what keeps all the innards of a cell in place, but that's a distinct structure to the cell wall.
http://www.majordifferences.com/2013/10/difference-cell-wall...