The phrase is generally attributed to theoretical physicist Wolfgang Pauli, who was known for his colorful objections to incorrect or sloppy thinking. Rudolf Peierls documents an instance in which "a friend showed Pauli the paper of a young physicist which he suspected was not of great value but on which he wanted Pauli's views. Pauli remarked sadly, 'It is not even wrong'." This is also often quoted as "That is not only not right, it is not even wrong."
See also Scientific American's article "Wronger than Wrong."