When bullet enters the wall, it does have some speed. Wall applies force on the bullet as the bullet enters the wall and that force decreases the speed of the bullet and can eventually stop the bullet but it does not stop the bullet immediately because the bullet has initial speed. The equal force (equal in magnitude that is) is applied on the wall by the bullet as it travels but since that force is acting on the wall and not on the bullet, it does not affect the motion of the bullet as such. The forces in the third law act on different bodies and hence do not cancel out if one body is taken as a system.