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Imagine all our football team except one player form a tight circle, with our hands on the shoulders of the people next to us.

Inside the circle there is the eleventh person with the ball. The whole "construction" is moving slowly towards the opponent's goal. It is inevitable that we will score.

Is this illegal? If yes, according to what rule?

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Yes, it would be illegal under "Law 12 - Fouls and Misconduct".

An indirect free kick is also awarded to the opposing team if, in the opinion of the referee, a player: [...] impedes the progress of an opponent

In addition to that, you would be likely to receive a yellow card for "unsporting behaviour".

It's a novel strategy but it goes against the spirit of the game and you would then be in danger of having all 11 players on yellow cards.

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    This is not impeding the progress of an opponent. It's simply unsporting behaviour.
    – Reinstate Monica 2331977
    Apr 10, 2014 at 0:32
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    I find the talk "against the spirit of the game" rather dubious. So who is to define what exactly is "spirit of the game" and "unsporting behavior"? This seems to give the ref a lot of leeway. For example there was an incident where a player scored from a ball originally intended to be returned to the opposition team after a preceding injury incident, which was allowed by the ref. I think the key point here is still about whether this is "impeding the progress of an opponent", which is dubious as @studro pointed out, since they're all just using their bodies without any extra actions.
    – xji
    Apr 27, 2016 at 7:44
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    @JIXiang - I agree - It's entirely dubious. The Laws of Football were developed in common law countries and as such are a common law document. Referees are expected to apply tradition to understand what constitutes unsporting behaviour and what doesn't. The example you provided is certainly somewhat unsporting, but referees are expected to not caution for it.
    – Reinstate Monica 2331977
    Apr 30, 2016 at 0:55
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Most referees would interpret this as going against the 2020/21 Laws of the Game. Take your pick:

  • Impeding the progress of an opponent without contact

Impeding the progress of an opponent means moving into the opponent’s path to obstruct, block, slow down or force a change of direction when the ball is not within playing distance of either player.

  • Playing in a dangerous manner

Playing in a dangerous manner is any action that, while trying to play the ball, threatens injury to someone (including the player themself) and includes preventing a nearby opponent from playing the ball for fear of injury.

Personally, I would call Impeding the progress of an opponent without contact which results in a restart of an indirect free kick at the spot of the offense. Also, I believe most referees would not give a yellow card for this unless the offender's intention was to waste time.

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