Democratic Sen. Chris Coons said Friday that President Donald Trump's proposed wall along the Mexican border isn't immoral, contrary to what House Speaker Nancy Pelosi and other Democrats have said.

Rather, the border wall is "a piece of infrastructure," the Delaware Democrat told CNBC's "Squawk Box." "We've already got more than 600, almost 700 miles of border fencing, so-called Normandy barriers, that I think have made a difference."

Coons said he and his Democratic colleagues have previously voted for billions of dollars more in border security as part of broader immigration reform.

He said his party's concerns this time surround whether Trump's $5.7 billion vision for a wall will be effective. "The larger question is how should we most efficiently and effectively spend billions of dollars more," Coons said.

Coons joined CNBC as lawmakers work to strike an immigration agreement and extend government funding beyond next Friday. Trump signed legislation on Jan. 25 to temporarily end a record long shutdown following a stalemate with Democrats over whether to fund a wall along the southern U.S. border.

Trump has threatened to let funding lapse again or declare a national emergency if Congress doesn't craft an immigration deal he likes. Alabama Sen. Richard Shelby, the top Republican negotiator on a conference committee trying to keep government running, said Thursday he expects a deal on border security funding by Monday.

Coons said the U.S. should invest more in border security and hopes a deal can be reached and the nation "frankly really needs one."

"Shutting down the government for 35 days and getting nothing out of it in terms of greater investment in modern border security did not help us either with China, domestically or with the rest of the world," he said.

—CNBC's Jacob Pramuk contributed to this report.