Here's why:
* Incomplete Thought: The sentence doesn't express a complete thought. It leaves the reader wondering what happened while you were talking to Walter.
* Missing Verb: There's no verb in the sentence to indicate an action.
To make it a complete sentence, you could add a verb and complete the thought:
* "While I was talking on the phone to Walter, I heard a loud noise."
* "While I was talking on the phone to Walter, the power went out."