A functional wheel (or set of wheels) requires at least one portion that rotates independently of the main body or chassis. This is usually the axle in vehicles, though some axles are so small as to essentially be part of the wheel (as seen in bicycle wheels, for example). Bodies build themselves cell by cell, and everything is typically directly connected to everything else; having a complete disconnected section that is able to rotate freely in respect to the main body is itself a difficult problem to solve with biology- a ball and socket joint is about the closest we come to this degree of articulation, and even that is problematic to extend to biological wheels.

Then, there is the problem of applying power to the wheels. A biological equivalent of a spinning motor and gearbox have all of the problems associated with biological wheels and then some. Maybe something more akin to muscular pistons that 'grab' the wheel or axle during the contraction and release it during extension, with two or more of these alternating? Still seems a bit of a difficulty to pull of biologically.

Even if the problems of creating and powering these structures that rotate freely in respect to the main body are solved, we still have the problem of sending nutrients and nerve signals to these structures as well as removing waste materials from them, and the problem of keeping the system lubricated. Even if the main body and the internal structure of the wheels and/or engine used a normal system of blood vessels and nerve cells, the synapses and vascular system connecting the main body to these structures would by necessity need to be significantly different from the norm.

Those are a lot of very strict biological requirements for an animal to have functional wheels, and the hypothetical first crop of these would then have to endure selective pressure. Us humans love our wheels, but they dont lend themselves well to most terrain. Maneuverability and agility are lessened compared to legs, as is ability to handle rough terrain. The benefits really are faster movement over relatively smooth terrain and easier movement of heavy loads. I can't picture many environments short of an abandoned city where such an adaptation would prove even remotely beneficial, and the suitability of the roads for travel on wheels would deteriorate more quickly than animals could adapt to it without maintenance by humans.

I'm not going to say that it's impossible, as I believe there are stranger things in the animal kingdom than wheels, personally. It just seems like a lot of change to expect any organism to endure without simply dieing from other accompanying changes (assuming rapid mutations), and its hard at least for me to see a functional 'middle ground' between wheels and legs/fins/etc which would be needed for the intervening organisms to survive and thrive as the wheels evolve (assuming slower mutation/adaptation/selection). At least legs and fins have some fundamental things in common structurewise, at least lungs and gills perform a similar function that could conceivably have a form that functions in both air and water even if not equally well. A lot of change with a very marginal 'niche' reward.

Where is there even natural terrain that is better suited for wheels than for legs?

Why haven't I evolved wheels? I inherited the gene of being fast as shit . Maybe my child will have some wheels.

Because their genetic structure is not suitable for such a thing.

And how are they to swim with wheels? Or climb trees?

Or climb to mountain tops to enjoy the beautiful view?? Wheels would deprive them of that.

It would be highly inefficient

The problem with wheels is that they are not effective at moving things across the wilderness they generally require roads. Animals don't have wheels because if they were to build roads it would be a HUGE disadvantage to their species.