When trying to establish a WireGuard VPN connection using a "wg-quick" and receive the following error :

RNETLINK answers: Operation not supported 

and / or

Unable to access interface: Protocol not supported

Check if WireGuard  kernel module is present and loaded

Try running:

sudo modprobe wireguard

You might need to reboot your machine as well.

Note. If you are using Docker container for WireGuard VPN, remember that kernel space is shared and WireGuard needs to be present on HOST as well.