Roaches have many ways of getting in, depending on the way your house was built. They may use weep holes between bricks, or the j-rail of a stucco house.
Depending on the area that you live, and the construction of your home, will determine how roaches get inside the house. Some homes are built out of brick and they have weep holes at the bottom of the wall. A weep hole is the gap between two bricks that allow the walls to breathe. When a roach approaches the foundation of the home they can feel the moist air coming out of the walls and it attracts them right inside the house. If you live in an area were your homes are mainly made stucco, you have what's called a j-rail.
If you look at the foundation you'll see that the house actually hangs over the foundation of the home a couple of inches. Underneath of there this an aluminium rail that runs all the way around the outside of the house and has little holes every three to six inches, that allow the walls to breathe. Again when a roach approaches the home, they feel the moisture coming out of the house and draws them right upside the wall.