In 2015 alone, millennials drank 159.6 million cases of wine, which was more than any other generation. On average, they're drinking wine that's under $20, and consuming 3.1 glasses on a given drinking occasion. That's also more glasses than any other generation, too. But, that may have something to do with the fact that they're young and still good at drinking.
The Wine Market Council report was based mainly on two surveys with 2,936 and 1,200 respondents respectively, and was supplemented with some outside research.
One more interesting point: among older millennials, the amount of male and female "high frequency" wine drinkers is almost even. The breakdown skews female, but comes out to 51% vs. 49%.