Any closed path (shape) has a border and the border can be treated as a shape also. If you join a circle and a square they will now have an irregular border which you can edit or make invisible.
I'm sensing the questions "How do I make this saw blade shape?" and "how do I make a border that has a saw tooth pattern and apply it to various shapes?"
There are several options to draw the saw blade. I made a 64 point star and twisted it.
To make a saw tooth border pattern you can draw a few sample saw teeth then make a brush of them and apply it to a circle:
With the pen tool draw a sawtooth. Make sure its a closed (completed) path. Copy it and paste twice to make 3 teeth.
Make a rectangle that's wide and flat. Place the teeth on the rectangle, align bottom everything and then align the three teeth equidistant horizontally "Horizontal Distribute Center". Select the three teeth and the rectangle and use pathfinder "combine".
Make your shape small then drag it into the brushes pallet and select "Pattern Brush". Then apply the brush to the stroke of a circle.