Nothing wrong with that. A good vault door cost a little less than one big safe. If you're adding a room or building a new house adding in a 30' of poured wall is not much if you're already doing concrete work. If you aren't handy with tools and aren't doing major remodeling it would probably be easier to do multiple safes. I would guess that if your collection takes more than 2 large safes look hard at a vault room.
On the other hand, what is wrong with having a mildly strong room with a commercial gun safe or multiple safes if needed? Wouldn't it be more cost effective?
I'm just sayin'...