Natacha Bouchart, who pledged on September 23 to use "all legal weapons in my possession" to fight the barrier, filed an injunction to halt work on the wall.
But the local administration immediately overruled the move, allowing the work, which began on September 20, to continue.
The British-funded wall, which will be one kilometre (half a mile) long and four metres (13 feet) high, will pass within a few hundred metres of the sprawling migrant camp known as the "Jungle", which charities say now houses more than 10,000 people.
The right-wing mayor, who initially favoured a wall, now says there is no need for one because the French government has promised to close down the Jungle camp "as soon as possible".
Britain is paying the 2.7 million euro ($3 million) cost of the wall, which Calais authorities say will be completed by the end of the year.
It is meant to prevent migrants from reaching a bypass road in order to board trucks heading through the Channel tunnel.
Bouchart told AFP: "Calais residents are fed up with seeing barriers and barbed wire everywhere. They feel completely hemmed in."