I read a thread about Dzeko in a Bosnian forum and looks like this is the problem:
Last year he signed a new contract and he was given a verbal guarantee (nothing on paper, of course) that next summer (which is this one), Wolfsburg won't make problems to him if he wants to leave and they will sell him. Apparently, the new contract had a 40m eur release clause.
This summer Dzeko reminded the directors about the verbal promise and they confirmed again that they won't make problems to him but they want a good price. Dzeko accepted that (even in some previous interviews, from last month, he looked really happy and excited about the opportunity to go to some other league). But as time went on and Wolfsburg asked for a very big price, Dzeko started feeling nervous and he didn't hide it anymore in the interviews. The last stroke was yesterday's announcement that Wolfsburg won't let him leave. I don't know how much truth there is in it, but apparently Dzeko was told that he's staying. Not that they won't let him go until the right price comes, but that they won't let him go at all.
P.S: And Dzeko's fans in that forum keep blaming his agent Redzepagic. I don't really get it what's the exact reason they blame him so much, but they blame him for being the person who makes things more complicated for Dzeko.