Does a plumbing vent need to penetrate the roof? (Can it penetrate a wall?)
No problem, as long as the vent meets the criteria listed below.


Not directly below a door, openable window, or other air intake opening (of this or any other building).
Not within 10 feet horizontally of the above mentioned openings, unless it's 3 feet above them.
Not less than 10 feet from the property line.
Not less than 10 feet above the ground.
Not under the soffit, if soffit vents are used (Covered by point 1 in my opinion).
Must be protected from birds and/or rodents blocking it.



  International Plumbing Code 2012
  
  Chapter 9 Vents
  
  Section 903 Vent Terminals
  
  903.5 Location of vent terminal.
  An open vent terminal from a drainage system shall not be located directly beneath any door, openable window, or other air intake opening of the building or of an adjacent building, and any such vent terminal shall not be within 10 feet (3048 mm) horizontally of such an opening unless it is 3 feet (914 mm) or more above the top of such opening. 
  
  903.6 Extension through the wall.
  Vent terminals extending through the wall shall terminate at a point not less than 10 feet (3048 mm) from a lot line and not less than 10 feet (3048 mm) above average ground level. Vent terminals shall not terminate under the overhang of a structure with soffit vents. Side wall vent terminals shall be protected to prevent birds or rodents from entering or blocking the vent opening. 


And don't forget, if required you have to protect any extensions from freezing.


  903.7 Extension outside a structure.
  In climates where the 97.5-percent value for outside design temperature is less than 0°F (-18°C), vent pipes installed on the exterior of the structure shall be protected against freezing by insulation, heat or both.