The 26-year-old, primarily a right-winger but also able to operate as a wingback or striker, has signed a three-year deal with the Championship side after four-and-a-half years with the Grecians.
"I'm really excited. This is a big deal for me and I can't wait to get started," he told the official QPR site.
"Like anyone in any career path, when you take a step up it can take some time to acclimatise, but I'm confident I can have a positive impact for the team.
"Wherever I have been, I have been known to be a hard-working, honest player and I will give my all."
Manager Ian Holloway added: "We're delighted to bring David in. He had a great season last year, and if you look at him, he has progressed every year.
"That's what we want him to continue now he's at QPR."
Wheeler, who has previously had spells at Lewes and Staines Town, scored 21 goals for Exeter last season.