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It was just a wall—a plain brick wall, a little worn, and a little old, but just an ordinary cemented heap of roasted red clay. Rick gave it no second thought.

That is, until he heard the whisper.

A chill ran down his spine. He knew it had come from the direction of the wall—maybe even from the wall!—but he knew he was not losing it. He turned to stare at the wall, then at his watch, then at the wall, then looked around to see if anyone else had heard it.

You’re a dead man, Rick. It sounded in his head. Again.

He definitely was losing it. He looked around again. No one was within twenty feet of him, so he started to feel across the wall, feel for the wire or whatever it was that spoke to him.

*begin personal taste statement*
The first sentence didn't particularly do anything for me. I don't really see anything wrong with it. But by the end I was getting bored. Maybe it was a little long?
*end personal taste statement*

The phrase 'ordinary cemented heap of roasted red clay' is a mouthful and a half.

"Rick gave it no second thought." I think, tense-wise, this would flow better as "Rick had given it no second thought." Or something like that.

"but he knew he was not losing it" This felt awkward to me. It sounds too definite, like he scientifically knows that what he is hearing is not a figment of his imagination. Chances are, he doesn't really know, but rather doesn't think he's losing it. Or you could state it emphatically, like "he couldn't be losing it...could he?" or "he was pretty sure he wasn't losing it."

Why did he look at his watch? That seemed like an arbitrary action that didn't need to be there.

Why would a wire speak? Do you mean a little microphone on a wire? Does he specifically think of a wire for some reason?

Also, if the voice is sounding "in his head" (twice!) then how can it be coming from the wall, or a wire, or anywhere else? Maybe you mean in his ears? If it's in his head, that suggests non verbal communication to me, and that wouldn't make a directional sound.

Where is he? I have no idea what the setting is. You don't have to give much, but just a clue or two as to whether we're inside or outside, in the park or on the sidewalk, etc.

The next bit confuses me. Did he have an auditory hallucination? If so---or if it was a real sound---he doesn't seem too alarmed.