A fundamental tenet of security is that a chain is only as strong as its weakest link and a wall is only as strong as its weakest point. Smart attackers are going to seek out that weak point and concentrate their attentions there. You need to be aware of the weak points of your defense so that you can take steps to eliminate them, and so that you can carefully monitor those you can't eliminate. You should try to pay attention evenly to all aspects of your security, so that there is no large difference in how insecure one thing is as compared to another.
There is always going to be a weakest link, however; the trick is to make that link strong enough and to keep the strength proportional to the risk. For instance, it's usually reasonable to worry more about people attacking you over the network than about people actually coming to your site to attack you physically; therefore you can usually allow your physical security to be your weakest link. It's not reasonable to neglect physical security altogether, however, because there's still some threat there. It's also not reasonable, for example, to protect Telnet connections very carefully, but not protect FTP connections, because of the similarities of the risks posed by those services.
Host security models suffer from a particularly nasty interaction between choke points and weak links; there's no choke point, which means that there are a very large number of links, and many of them may be very weak indeed.