Not in these words. In Plato's dialogue Theaetetus (155d), Socrates tells the young Theaetetus that wonder is the feeling of a philosopher and that “philosophy begins in wonder”. The popular version swaps philosophy for wisdom, which changes the claim: Socrates is talking about where inquiry starts, not about where wisdom comes from.
What it means
Feeling puzzled is not a failure to understand; it is where understanding starts. The person who stops and wonders why something is so has already begun to think about it properly.
Where it comes from
Theaetetus, a gifted young mathematician, has just admitted that some puzzles about size and number make his head swim. Socrates replies, in Benjamin Jowett's translation: “I see, my dear Theaetetus, that Theodorus had a true insight into your nature when he said that you were a philosopher, for wonder is the feeling of a philosopher, and philosophy begins in wonder.” He adds a pun from Greek myth: whoever said that Iris, the messenger of the gods, is the child of Thaumas (whose name means wonder) was a good genealogist.
Harold North Fowler's translation of the same passage reads: “this feeling of wonder shows that you are a philosopher, since wonder is the only beginning of philosophy.” Neither translation says “wisdom”. The line is credited to Socrates because he speaks it in Plato's dialogue; Socrates himself wrote nothing, so every saying of his reaches us through someone else.