While cell membranes might be around every cell, cell walls made of cellulose are only found around plant cells. Cell walls are made of specialized sugars called cellulose. Cellulose provides a protected framework for a plant cell to survive. It's like taking a water balloon and putting it in a cardboard box. The balloon is protected from the outside world. Cellulose is called a structural carbohydrate (complex sugar) because it is used in protection and support.
Cell walls also help a plant keep its shape. While they do protect the cells, cell walls and cellulose also allow plants to grow to great heights. While you have a skeleton to hold you up, a 100-foot tall redwood tree does not. It uses the strong cell walls to maintain its shape. For smaller plants, cell walls are slightly elastic. Wind can push them over and then they bounce back. Big redwoods need strength in high winds and sway very little (except at the top).