What kind of bee can dig through stone?
Here's a paper in Current Biology1 on the discovery of a species of bee (Anthophora pueblo) in Utah (US) that burrows through sandstone. Pretty cool!

Sandstone is harder than limestone, so I suppose it could be possible for this type of bee to get through your wall material, though Utah is a long flight from Israel. 

Perhaps you have discovered a related species of Anthophora local to where you live (perhaps this one?), except that it is unclear if the bee in your picture has the same large mandibles that would help it dig through stone:


  As sandstone is harder than other substrates bees excavate (e.g., sand or soil), higher energy and time costs are expected. Mandible wear is consistently seen in older females, a consequence of excavation that likely limits their further use.


Unless you have a lot of similarly-sized and -shaped holes in your wall material, with large-mandible-d bees coming and going, it seems reasonable to infer that this hole came from something else and that these particular bees are just reusing it.



1. Orr, M.C., Griswold, T., Pitts, J.P. and Parker, F.D., 2016. A new bee species that excavates sandstone nests. Current Biology, 26(17), pp.R792-R793.