It depends on the type of soy sauce. There are many different brands of soy sauce, and some of these do indeed contain wheat as an ingredient. Generally the main ingredients in soy sauce is soy beans, wheat, salt and water.
There are some soy sauces that are only made with soy beans, salt, and water. So sticking to these should be ok.
Soy sauce is a sauce that is very low in calories, and it can go great with different types of meals which have rice. Since rice also is a gluten-free grain, many people who eat gluten free like to eat meals with rice and soy sauce.