Hrgota, Max Kruse and Raffael all went close but couldn't secure the equalizer.
The visitors had the lion's share of possession but failed to create clear-cut chances until it was too late.
Patrick Herrmann wasted a good opportunity in the first half, Juan Arango hit the side netting in the second, and then Raffael shot straight at Koen Casteels with the goal at his mercy just before Volland scored what proved to be the winner.
"This defeat is hard to accept, said Moenchengladbach coach Lucien Favre. "We had a lot of ball possession but the opponent was always able to attack on the counter. The second goal, for example, shouldn't happen."
Eintracht Braunschweig fought back to earn a 1-1 draw at home with Nuremberg in the late game for the club's first point in the Bundesliga after 28 years away from the top-flight.
Adam Hlousek scored against the run of play for Nuremberg in the 28th, when U.S. defender Timmy Chandler whipped in a dangerous cross for the Czech midfielder to convert at the far post.
Nuremberg striker Daniel Ginczek almost made it 2-0 after the break but drew his wide under pressure, before Marvin Plattenhardt was denied by a great save from Braunschweig keeper Marjan Petkovic.
Omar Elabdellaoui finally equalized after a period of concerted pressure in the 70th, when Karim Bellarabi held up the ball before setting the defender up to strike to the far corner.
The home side pushed hard for the winner only to be denied repeatedly by the outstanding Nuremberg goalkeeper, Raphael Schaefer, who saved Ermin Bicakcic's point-blank header on the line and produced two fine stops in injury time.
