Minecraft wiki entry for Wolf, associated text: Teleporting resets the focus of a tamed wolf, so if a wolf is attacking a mob and teleports beside a player, it resumes following the player, as its tracking has been reset.
It is possible for tamed wolves to teleport to an inaccessible location (e.g. under ice) and be injured or die of suffocation as a result. This happens when the wolf considers transparent blocks, such as glass, or half-blocks, to be open.
It cannot teleport when it is sitting.