The vast majority of prokaryote cells have cell walls. In bacteria, these are made of peptidoglycan, while archaea use other materials to build their cell walls, such as protein or pseudomurein. The only group of prokaryotes that naturally lack cell walls are known as mycoplasma bacteria.
The cell wall prevents water from rushing into a bacterial cell, inflating it and causing its cell membrane to burst. This is the way that many antibiotics attack bacteria. Antibiotics introduce chemicals that interfere with the formation of peptidoglycan cell walls. Bacteria need to form new cell walls when they reproduce by binary fission.