Three acquaintances, Hingleton, Maverstock (renamed Fingleton and Haverstock in the American version) and the unnamed narrator, meet occasionally in a London café. One day Maverstock is upset since he thinks he has seen people disappearing in the street, apparently walking into brick walls. The others laugh at him. Perhaps they shouldn't ...
As far as I know this is Canning's only ghost story, and it is quite a good one.
Evening News, 19 October 1961.
Reprinted as "Through the wall", Ellery Queen's Mystery Magazine #233, April, 1963.