Wolves aren't immune to zombification; The direwolves (the big black ones) are zombified and mutated wolves. You can tell by the glowing eyes they have, and that, yknow, direwolves have been extinct for ages.
What matters seems to be whether the animal has ingested infected flesh, and potentially how much.
That's why vultures, the carrion eaters, are all infected, while dogs will have attacked/been attacked by their former owners and are all infected, meanwhile wolves/bears will be a mixed bag encountering or avoiding zombies out in the wild.
On the other hand, bunnies, chickens, boars, all completely free of infection; Save for Grace who was artificially experimented on by humans.