Berlin was seemingly bathed in yellow as the fanatical Dortmund fans travelled to watch their coach, who helped them to two league titles, try to end his tenure on a high.
Pierre-Emerick Aubameyang gave Dortmund the perfect start from close range.
But Wolfsburg hit back through Luiz Gustavo, Kevin De Bruyne and Bas Dost to win their first German Cup.
It was a brutal response by Wolfsburg, who finished the league season second in the Bundesliga, after Gabon forward Aubameyang had fired home ex-Manchester United midfielder Shinji Kagawa's delivery in the fifth minute.
Dortmund, league runners-up last season, have looked flimsy at the back during the 2014-15 campaign. They finished seventh in the Bundesliga, but struggled at the wrong end of the table up until Christmas.
And in the 22nd minute those frailties were exposed once more when Brazil international Gustavo collected the loose ball after keeper Mitchell Langerak had parried into his path from Naldo's low free-kick.
Dortmund were punished again moments later. This time former Chelsea midfielder De Bruyne, who has been one of Wolfsburg's players of the season, fired in from outside the area.
And the men in yellow suffered a third setback just before half-time when Dutch striker Dost, who scored 16 goals for Wolfsburg in the Bundesliga this season, was left unmarked at the far post to head in Ivan Perisic's cross.
Kagawa and Aubameyang went close for Dortmund in the second half, but Dieter Hecking's Wolfsburg side looked comfortable as they held on for a historic win.
Jurgen Klopp's final match in charge of Borussia Dortmund ended in defeat by Wolfsburg in the DFB Pokal final.