This is a myth that originates before we had spaceflight, so no-one knew enough to get it debunked before it became so pervasive. In fact, you can see other man-made objects from space (especially when the part of the Earth being viewed is awash in the artificially illuminated glow of nighttime). It's also pretty hard to pick out the Great Wall of China from any space-based locale. In low-Earth orbit, it's next to impossible to see it with the naked eye. Even with a fairly hefty camera lens, it's still challenging to tell if you're looking at the Great Wall or not.