He didn't himself - two of his disciples did. They went to Rome to spread Christianity and built churches for people to praise and worship God. The other 10 disciples did too, but in other parts of the world.
The Church as an Institution
Christ did not build the buildings (churches), but the institution (the Church), which He founded to spread his message.
(He founded it)
- Mat 16:18 And I say also unto thee, That thou art Peter, and upon this rock I will build my church; and the gates of hell shall not prevail against it.
(to spread his message)
- Mat 28:19 Go ye therefore, and teach all nations, baptizing them in the name of the Father, and of the Son, and of the Holy Ghost: