Dear student,
Since protists consists of organisms that do not belong to plants or animals or fungi, therefore they largely vary from one another and hence their cell wall. Protists that are close to animals, do not have cell walls at all. Plant-like and fungi-like protists have cell walls, that are made up of cellulose or some similar polymers (similar to plants). Some other protists have a cell wall that is unique and different from the cell walls that is present in other eukaryotic kingdoms.
Regards.