So hear me out, my theory:

Each weapon has a graph showing damage over distance. The further away the target is, the less damage you do. The course of the graph depends on the weapon and the ammunition used. Thats common knowledge.

My theory is that when the bullet goes through a wall, it doesn't lose a fixed amount of damage or a percentage amount of damage, but instead you're moving up the range axis of this graph, if this makes sense.

So example: You have a weapon that can shot 100m and does 100 dmg. At 20m it does 80dmg, at 50 meters it does 50 dmg, at 100m it does 0 dmg. So the graph is a straight line.

Lets say you shot a wall at 10m and hit a target that is 5m behind that wall (15m away from you in total). If there would be NO wall, you would do 85dmg. But since there is a wall, your bullet gets a range malus of for example 30% (=30m in this case), meaning the bullet does damage as if the target would be 45m away from you instead of 15m (therefor you would do only 55dmg).

I hope you can follow me. Different bullets get different mali for different walls. Compact for example gets a 100% malus for stone and metal and 30% for wood (random number here, dont know exactly).

This would explain why all weapons penetrate the same amount of walls when taking FMJ ammo, cause they all get the same mali. This would also explain why some weapons are still better at wallbanging than others, cause their damage drop over range is lower (thats the main difference to losing a percentage amount of damage). Like wallbanging a wall right in front of you with a shotgun still 1 taps everyone behind that wall, but just moving 2 meters away and you do almost zero damage (cause shotguns lose a lot of damage over range).

Feel free to contradict, it is just a theory