Professionals aside, any self respecting DIY store will readily sell you masonry drills in lengths suitable for most walls. And in the rental section, you’ll be able to get a core drill plus the appropriate machine (exactly the kind of equipment professionals will use for big holes in thick walls) for making any hole too thick and/or too deep for a regular drill. Since core drills can be extended, your drilling depth (for practical purposes) pretty much is only limited by the number of extension rods you have available.