To provide a construction method of a geothermal heat exchange pipe unit for easily shortening a construction period and reducing cost.

An earth retaining wall 10 constructed underground from the ground surface GL is provided with a soil cement body 11 and H-steel 12 erected in the soil cement body 11 while the soil cement body 11 is unhardened. Before erecting the H-steel 12 in the unhardened soil cement body 11, the geothermal heat exchange pipe unit 20 is fixed to the H-steel 12 using a holder 30, and when erecting the H-steel 12 in the unhardened soil cement body 11, the geothermal heat exchange pipe unit 20 is erected in the unhardened soil cement body 11 together with the H-steel 12. At the completion of a construction process of the earth retaining wall 10, each geothermal heat exchange pipe unit 20 is embedded in the earth retaining wall 10 in a state of its end openings 21 being exposed to the ground surface GL.