You should be fine. Constructed walls don't burn. You do have a roof though, I hope, in case it is a flying megabeast?
Oh yeah, it was my above ground barns and greenhouse - access is only from underground tunnels. Still, I was stupid. Had a Dwarf who were infected by a were-beast and had him go out and attack the fire-creature. It killed him and then charged in before I could close my Trade Depot/Air Lock Systems. Over a hundred citizens and visitors died, many of my Squads have to be reformed, and some of the stockpiles, including the booze in the tavern, are on fire but...that's silly Dwarf Fortress for you.
Oh, and we killed it. Turns out bolts can knock off limbs when a creature is made up of flames and ash. Also it did not like my cleaning trench. Water. Who knew?
When I first started this game I would rage when my Dwarves went off to fish when work needed to be done and now I'm, "Oh well. Many of my folks will have emotional scars and we'll have to wait for the fires to burn out on their own because we don't have any way to fight fires, which seems weird, but at least the fire-beast never got to the library or important deeper areas of the city."
Now I just need more coffins created and a few memorial slabs, as many victims were burnt to ash, but...that's life. We will survive. Well, I will survive in my air conditioned condo sipping tea and listening to classical music as my ash covered Dwarves try to find the missing and the dead within the smoke filled halls.
Merry Christmas Everyone! Now make back to work!