Depends on the thickness of the wall, the depth of chase and whether vertical or horizontal.
Assuming you are talking about the walls coming out from the external wall and across where the front of the fire would have been, then:
1. If the wall is only one brick thick I'd be reluctant to chase it horizontally as it would weaken it too much in my opinion. Assuming 15 mm pipe with some insulation and a skim over the top, you'd be looking to chase around 25 mm in by 25 mm top to bottom. That's about 25% of its depth. Chasing vertically should be OK.
2. If the wall is double thickness, then probably OK.
Be a little careful, particularly if the fireplace has had a gas fire in it at some stage, in case there is still a gas pipe present but capped off.