Bomb-proof materials are being used to construct the wall and all routes to his sprawling Chak Shehzad farmhouse on the outskirts of the city, other than the entrance, will be closed off, media reports said.
TV footages showed trucks with heavy concrete blocks heading to the farmhouse.
Musharraf, 70, has been receiving several threats to his life since his return to Pakistan and explosives have been recovered from around his farmhouse on a number of occasions.
Police claim the target of the attack was Musharraf.
Last year in April, 45 kilogrammes of explosives had been discovered in a car abandoned near his farmhouse when he was returning after his appearance in an anti-terrorism court in Rawalpindi.
Meanwhile, police discovered five kilogrammes of explosive material, weapons and ammunition close to the route Musharraf was due to take from his house to the court on December 24.
In another such incident on December 30, police had recovered four packets of explosive materials near Musharraf's farmhouse.
He is currently secured by a three-layered security team.
Since Musharraf returned to Pakistan from self-exile in March last year, he has faced prosecution in four major cases, including one in which he has been indicted on high treason charges and another for his alleged involvement in the murder of former prime minister Benazir Bhutto in 2007.
The former president, who is the first military ruler in Pakistan's history to be tried in court, has rejected all the charges leveled against him.
His farmhouse has been declared a "satellite facility of the military hospital".
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