Yes Rats can make holes inside walls and then live between the studs of the walls.
I had to tear apart some drywall one time to remove a dead rats body that was smelling.
The rat had made a nest up in the wall and after I put out some poison the rat must've crawled back up into the wall and died.
If you notice holes that look like rat holes in the wall then there's likely rats living in your walls so if you put out some rat poison then you'll likely have to tear your wall open to remove the dead rats body unless you want to deal with the smell and wait for it to decompose which can take up to a month.
After that ordeal I now just set out rat traps instead of poison to kill the rats because of the rat dying in the wall.
You should look around outside as well and look for any entry points that the rat could be coming into your house through and use wire mesh or cheese cloth which rats and mice cannot chew through to seal up the holes.