Rovers took the lead in the 13th minute when Tom Cairney picked up the ball on the left and drove into the box, beating three Wigan players before slotting a shot into the bottom corner.
The home side got their third of the afternoon when Conway cut in from the right and lifted a cross to the back post for Gestede, who powered a header into the bottom corner.
After half time, Cairney almost got his second of the afternoon when he picked up the ball on the edge of the area, but his shot was deflected just wide of the post.
Wigan then all but dented Blackburn's small hopes of reaching the playoffs when they got a goal back through McClean as he crashed a volley into the net from close range.
Blackburn gave themselves a glimmer of hope when Conway lifted yet another cross into the penalty area, which was headed in by Jordan Rhodes.
However, the Latics got a third goal to end Rovers' playoff hopes as Nicky Maynard found the net in the 87th minute.