Wall Street would generally not have an article, but there are situations where you might use one. Saying 'The' Wall Street can make it sound like something much more than just a street - i.e. the US financial sector. So the definite article is defining it as something other than just a street. Or it could be used to distinguish different Wall Streets. The Wall Street - the one in New York, not one in a different city. 'The' indicating the most important or 'definitive' one. Similarly, we can also use articles with cities [and any proper nouns]: He went to Saint Petersburg. He went to 'the' Saint Petersburg in Florida, not 'the' Saint Peteresburg in Russia. The definite article is used to define things so we don't usually need it with names as we know what we're referring to. But when there is more than one thing with the same name, and it's not clear which one we mean, we have to define it. In Russian it would be similar to saying 'this or that' thing or using any kind of determiner [my, your, etc]. Or it could just be a mistake) Without more context, it is impossible to say what it means or if it is incorrect.

Hi Igor, We don't use "We work on the Wall Street". I've checked, and that phrase doesn't exist. We only use "We work on Wall Street." "High Street" is an interesting example. As the given name of a street, we don't use "the". However, "the high street" (no capital letters) refers to the main shopping area of a town. The real street name may be completely different.