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By default, there is no firewall built inside Android devices. The truth is there is no need of firewall for Android device as long as you use reputable Android apps from Google store. You are unlikely to encounter any issues as long as you are not using any suspicious Apps which leaks information.
What makes Android safe?
In Windows, the executable files are in a .exe format which can be run without warning. So there is a high probability of exe files getting inside the computer without your knowledge and run in the background transferring information. Firewall is a must have in Windows OS.
In Android, the executable file comes in .apk format. The files need to be installed first and cannot be run without your knowledge. This basic feature itself provides the first layer of safety. If there is any malicious code which attempts to run, you will be given an installation prompt which allows you to decide whether or not to install it to run it.
Android Firewall – Droidwall Firewall
There are still a few reasons why you might need to think about having a firewall. Curiosity to try new Apps released in market and discovery of loopholes are still a possibility. You can opt for an excellent firewall App called Droidwall. But it has a drawback. It can only be run on rooted devices, so it will not work devices which come in the original state.
Once installed, Droidwall prompts users whenever an App tries to go online. You can allow access permanently or block it permanently.
You may also want to see checklist to secure your Android device.