Yes rats can chew through walls that are wood or drywall.
If the inside of the walls are drywall which they are usually in newer houses the rat can easily chew through that drywall and get inside your walls and then get to the wiring which can start a fire if they chew the wires inside your wall.
I've had rats chew through the wood exterior of my home and then chew through the drywall inside the house to get in.
I keep my house clean and my yard as clean as possible as well but rats still try to get into the house every once in awhile.
I don't have a huge rat problem because I keep the house clean, yard clean etc and get rid of rats as soon as I notice them by setting out rat traps or poison if I can't get them into the rat traps.