Wolfe struck twice on the night and says Wolves showed the right "fighting spirit" in the 4-3 reverse.
He told the club's website: “I think we have very good character in the group. At half-time everyone looked at each other, we are completely honest with each other now.
"We either can give up or we give everything for the fans that deserve it, for our families who have been supporting us all since we were born, and also for ourselves, our pride. Second half we showed a lot of character, a lot of pride to wear the shirt.
“When they scored for 4-2 it’s maybe easier than at half-time to give up, but we gathered and we scored another one and created some half chances all the way to the end. So, it very disappointing that we couldn't get the fourth one.”
Wolfe added, “Even though the result isn't what we want, we can be very proud of the second half. Chelsea are one of the best teams in the world, they showed it this summer, so I think we can be proud.
"But we need to be able to do it for 90 minutes. It's a bit too often where we start the first-half not too good, so that's something we have to do better.”