Are There Exceptions to Animal Cells not Having Cell Walls?
Humans, as well as the rest of the metazoans (i.e. animals), absolutely do not have cell walls. What humans do have is extracellular matrix (ECM), which is the sort of fibrous, sort of gel-like material in which cells in many of the tissues are embedded. Collagen is a major component of ECM.
From the old copy of Alberts that is hosted on the NCBI website:

Tissues are not made up solely of cells. A substantial part of their volume is extracellular space, which is largely filled by an intricate network of macromolecules constituting the extracellular matrix (Figure 19-33). This matrix is composed of a variety of proteins and polysaccharides that are secreted locally and assembled into an organized meshwork in close association with the surface of the cell that produced them...
Two main classes of extracellular macromolecules make up the matrix: (1) polysaccharide chains of the class called glycosaminoglycans (GAGs), which are usually found covalently linked to protein in the form of proteoglycans, and (2) fibrous proteins, including collagen, elastin, fibronectin, and laminin, which have both structural and adhesive functions.