Volkov was married to Nina Volkova and has two children. Volkov is also the grandfather of four children. His son, Andrey, is a notable alumni from the Izhevsk State Technical University, and his daughter, Vera is an attorney. His hobbies were football, fishing, skiing, tennis, and spending some time helping out in the garden. Volkov was notably a very experienced musician, as he could play the accordion. When on holiday, Volkov usually went to Bryansk to meet his family. Volkov was fluent in Russian and could speak some English.