Wheat is one of the most important arable crops grown worldwide, providing a significant proportion of the daily calorific intake for countries across the globe. Wheat crops are attacked by a diverse range of herbivorous invertebrates, pests, that cause significant yield loss. It is anticipated that yield loss caused by pests will increase in response to a changing climate. Currently, these pests are primarily controlled using pesticides; however, there is an increased need for more sustainable pest management solutions. Economic thresholds represent one avenue that can support the sustainable management of pests. Briefly, thresholds are the number of pests above which there is sufficient risk of yield loss. Here, we review the economic thresholds and prediction methods available for sustainable pest management in wheat. We focus on five economically damaging pests affecting wheat crops in the UK and Europe. For each, we highlight the key period of crop risk to pest attack, identify economic thresholds, and provide an overview of current decision support models that can help estimate crop risk and advise sustainable pest management; we end by proposing areas for future improvement for each pest. Furthermore, we take a novel approach by discussing economic thresholds and their applications to sustainable pest management within the context of crop physiology and the capacity for crops to tolerate pest damage, a consideration that is often overlooked when developing pest management strategies. We use the stem-boring pest, the gout fly, as a case study and use the economic injury level equation to conduct a theoretical assessment of the appropriateness of the current gout fly threshold. This theoretical assessment indicates that wheat crops can tolerate greater gout fly damage than currently considered, and shows that by incorporating crop physiology into sustainable pest tolerance schemes we can work towards developing more appropriate physiological-based pest thresholds.