Well, we don't know what country you're in so it's hard to guess what kind of critter is in your wall. Likely a mouse.

Is the inside of your walls brick as well? If not, and it's plaster or drywall, they're inside that part. How they got in is the question. A mouse does not need much space at all to get through. You might want to have a pest control expert inspect your house for openings and get them sealed up with caulk or whatever.

If there's evidence of mice insde the house, you should set out traps to catch them.