The timber wolves got through a damaged fence in their enclosure at Colchester Zoo to the east of London in the early hours of the morning.
Two were shot dead shortly after they escaped, one returned of its own accord and one was shot with an anaesthetic dart and captured.
But one animal remained at large in woodland for several hours.
People living nearby were reportedly warned to keep small children at home while police used a helicopter to scour the forest.
A statement from the zoo said keepers were "devastated" by the loss of the wolves.
The zoo explained that an anaesthetic dart takes 15 minutes to take effect "and may not work at all on a stressed animal", so three of wolves had to be shot.
The statement added that it was not yet known how the fence, which is checked every day, was damaged.
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