Demiplane doesn't have walls in conventional sense. It just ends, looking like a wall to an observer (or like something else, according to the nature of specific demiplane).
According to Player's Handbook:
Demiplanes are small extradimensional spaces with their own unique rules.
A given demiplane can be entered through a single point where it touches another plane.
So, other than the door, it's not touching any other dimension. There is absolutely nothing through the "wall" of demiplane. No other plane, no space, no vacuum, nothing.
So the "material" of a demiplane, created specifically by Demiplane spell, is just an aspect of it, shaped by the spell (presumably for caster's convenience and sanity). It has no actual matter or thickness to it and doesn't separate demiplane from anything, since there is nothing on the other side. There is no other side altogether.