There is a giant portcullis and gate between the Lemmings and the exit, but it is a fake. The collision is provided by invisible blocks, but it doesn't do enough to completely block the lemmings away. There is a gap at the very top.
However, you can't just simply build up to it. The optimal building spot is denied by the slope going down too early. You need to remedy this by building up the ramp to "level it off". From there, you can finally reach the gap and save the lemmings.