Example methods are provided for a destination host to implement a firewall in a virtualized computing environment that includes the destination host and a source host. The method may comprise receiving, via a physical network interface controller (PNIC) of the destination host, an ingress packet sent by the source host. The ingress packet may be destined for a destination virtualized computing instance that is supported by the destination host and associated with a destination virtual network interface controller (VNIC). The method may further comprise retrieving a PNIC-level firewall rule associated with the destination virtualized computing instance, the PNIC-level firewall rule being applicable at the PNIC and generated by based on a VNIC-level firewall rule applicable at the destination VNIC. In response to determination that the PNIC-level firewall rule blocks the ingress packet from passing through, the ingress packet may be dropped such that the ingress packet is not sent to the destination VNIC.