Self-consistent field theory for thin films of AB diblock polymers in the double-gyroid phase reveals that in the absence of preferential wetting of monomer species at the film boundaries, films with the (211) plane oriented parallel to the boundaries are more stable than other orientations, consistent with experimental results. This preferred orientation is explained in the context of boundary frustration. Specifically, the angle of intersection between the A/B interface and the film boundary, the wetting angle, is thermodynamically restricted to a narrow range of values. Most termination planes in the double gyroid cannot accommodate this narrow range of wetting angles without significant local distortion relative to the bulk morphology; the (211)-oriented termination plane with the "double-wave" pattern produces relatively minimal distortion, making it the least frustrated boundary. The principle of boundary frustration provides a framework to understand the relative stability of termination planes for complex ordered block polymer phases confined between flat, nonpreferential boundaries.