In my humble opinion the best insulation for a wine cellar is closed cell spray foam which is also referred to as 2 pound or medium density.
Wine cellar wall insulation.
Some wine cellar builders wrap the entire interior of the walls and leave the plastic sheeting loose in the stud cavity so that the fiberglass insulation can be placed between each stud.
A poorly constructed wine cellar may require much more moisture during the same time period not to mention mold issues and your cooling system having to work overtime.
Frame all cellar walls even concrete walls using standard 2x4 or 2x6 studs.
However if you re converting an existing room or closet use blow in insulation in the walls and ceiling.
Other contractors roll in the batting in between the stud cavities and when this is finished the whole wine storage structure is wrapped with plastic sheeting.
The wine cellar side is the cold side also always use pressure treated lumber next to concrete to prevent rot.
Keep in mind the thicker the wall depth the more insulation and higher r value can be achieved.
You may even need to insulate the ceiling and floor depending on your substrate materials.
Spray foam is normally more expensive but it will prevent the possibility of a puncture mark in your vapor barrier as a 6 mil vapor barrier is not necessary when using spray foam caused by someone inserting.
There are two common methods for wine cellar insulation and vapor barriers.
Building a wine cellar without adequate insulation is also a common problem.
Remember to attach the vapor barrier on the warm side of the wall between the insulation and the wall covering.
The more insulation the better for your wine cellar.