I'd probably say on , too. But i wouldn't say in is wrong. It suggests that they build in cracks in the rock face.
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Smart Humanism"The birds build their nests in the rock face."I imagine a vertical cliff side. I doubt the nests would stay in place if they were built on the rock face. There must be cavities perpendicular to the rock face, and it is in those places that the birds build their nests. That's my interpretation.