The Great Wall of China gets a double whammy on this myth. 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.
There are a couple of reasons this pseudo-fact is so far-flung. For one, its history dates back to well before the Space Age, so no one knew enough to nip it in the bud straight off. And for another, the Great Wall of China is, well, a giant wall. Being hundreds of miles long, it's understandable people would assume it sticks out like a sore thumb from space.
Yes, the Great Wall of China is very, very long. It's also built from rocks collected from all over the local landscape – in other words, ones that are usually the same color as the wall itself. So unless China decides to give the wall a makeover and paint it hot pink, it's going to remain fairly hard to spot from space.