If you have an actual hose behind the wall, you have a problem! At least if it is a typical shower hose...those are not designed to be hidden inside of a wall.
The shower arm typically gets screwed into a drop-ear el. That can split, the shower arm can crack, or, someone may not have used pipe dope or tape on the threads when installing it. That type of connection (assuming it is a tapered pipe thread, most are) does NOT seal without one or the other. Note, if the connection has a washer in it (like a garden hose) AND the fitting is designed for it, that washer could be worn and leak, or be too loose. If you use tape on a fitting designed with a gasket, you can create a leak, rather than stop it - pipe dope and/or tape are only designed for tapered pipe fittings.
There are other possibilities, but without more info, it's hard to say.