Why are animals not following me when I'm holding wheat?

Breeding, which is one use for wheat, is not present in the current Xbox version, so as a result I doubt any animals will respond to wheat at all.

In the current PC version, wheat is only used for breeding cows, sheep, and mooshrooms. Breeding chickens is done with wheat seeds, and breeding pigs is done with carrots. Ocelots/Cats are tamed and bred with raw fish. Wolves/Dogs are tamed with bones, but bred with meat.

If you are on PC and are on a recent version I've noticed this problem as well. Usually selecting a different item and coming back to the wheat helps, sometimes I have to give them a little push and then they notice the wheat.

You should also know that they changed pigs to use carrots and chickens to use the seeds from wheat, so if you've upgraded and are used to using wheat with those two you'll need to change to their new favorite food.