Howdy. Most types of room have a requirement to be indoors which means they need to be built using either the Building (Brick) or Building (Concrete) tool on the Structure menu - in addition to the walls this gives you a foundation for the whole area (and the default concrete flooring).
When you build an enclosed rectangle or square from walls instead you've basically just made a walled garden - you can add flooring but only the exterior flooring options will be available. To convert this into an indoor space just redraw the room with one of the Building options on top of the existing shape - this will keep the original walls and add foundations (and the default concrete flooring).
The Wall tools are for making interior walls or perimeter walls and securing exterior spaces like yards.