According to Spanish newspaper, El Pais, Borrell said President Trump told him to "build a wall in the Sahara", before stating that "The border with the Sahara can not be bigger than ours with Mexico". This is around 1,000 miles longer than the US-Mexico border.
Immigration is a hot topic in Spain, as it is in much of Europe.
El Pais and Europa Press reported this week that Borrell recalled Trump's suggestion during a luncheon in Madrid on Tuesday.
President Donald Trump has expressed a renewed motivation to get Congress to fund his anti-immigrant border wall with Mexico. But The Guardian reports it could've been when the Spanish foreign minister accompanied King Felipe and Queen Letizia to the White House in June.
Spain has now overtaken Italy and Greece as the most popular destination for migrants. Most estimates for the Sahara put it at about 3,000 miles long from east to west.
In June, Trump received worldwide backlash when the USA government separated migrating children from parents, some asylum seekers after crossing the border.
The Spanish government has not yet commented on Trump's suggestion, but, a spokesman for the foreign ministry confirmed the foreign minister's remarks about the conversation, but said, "We won't be making any further comment on the minister's remarks".
The Sahara desert extends for almost 5,000 kilometres across the African continent.
Spain has two enclaves - Melilla and Ceuta - on the north African coast. They have become magnets for African migrants seeking a better life in Europe and refugees fleeing persecution and conflict.