Background
Throughout, I write things like $f:X\to Y$ when I either mean a partial function $f:X\not\to Y$, or at least that I only care about and am making claims about nice properties on a contextually-appropriate subset of $X$. It wasn't worth giving names to all of the relevant subsets.
For a reference on real and complex series of multiple variables, see Chapter 1 of Notes on global analysis by Andrew D. Lewis. For a higher level approach to the Wirtinger derivatives, see Why Wirtinger derivatives behave so well in the writings of MathSE's own Bart Michels.
Two Input Variables
Suppose we have a complex function $f:\mathbb{C}\to\mathbb{C}$ that is nice enough to have real-analytic components on some open domain $D$, like $f(z)=|z|+\exp(\overline{z})$. Then via $x=\Re z,y=\Im z,u=\Re f,v=\Im f$, we can interpret this as a function $\mathbf{f}:\mathbb{R}^{2}\to\mathbb{R}^{2}$ like $\mathbf{f}(x,y)=\left(u(x,y),v(x,y)\right)$ where $u$ and $v$ are analytic on $D$. Since $D$ is open, the series for $u$ and $v$ are absolutely convergent, so that we can use the power series to extend $u$ and $v$ to complex functions $\widetilde{u},\widetilde{v}:\mathbb{C}^{2}\to\mathbb{C}$. These can be put together to form $\widetilde{\mathbf{f}}:\mathbb{C}^{2}\to\mathbb{C}^{2}$. Inspired by "$x=(z+\overline{z})/2$" and "$y=(z-\overline{z})/(2i)$", we can define a helper function $\mathbf{h}:\mathbb{C}^{2}\to\mathbb{C}^{2}$ given by $h\left(z_{1},z_{2}\right)=\left((z_{1}+z_{2})/2,(z_{1}-z_{2})/(2i)\right)$. Define $\widehat{\mathbf{f}}:\mathbb{C}^{2}\to\mathbb{C}^{2}$ to be the composition $\widetilde{\mathbf{f}}\circ\mathbf{h}$. Note that for any $z\in\mathbb{C}$, we have $\widehat{\mathbf{f}}\left(z,\overline{z}\right)=\left(\Re f(z),\Im f(z)\right)\in\mathbb{R}^{2}$.
Then, at least on a compact subset of $D$ (so that we have uniform convergence for the series), the complex partial derivative $\left.\dfrac{\partial\widehat{\mathbf{f}}(z_{1},z_{2})}{\partial z_{1}}\right|_{\left(z_{1},z_{2}\right)=\left(a,\overline{a}\right)}$ can be written in terms of the Wirtinger derivative of $f$, as $\left(\Re\left.\dfrac{\partial f(z)}{\partial z}\right|_{z=a},\Im\left.\dfrac{\partial f(z)}{\partial z}\right|_{z=a}\right)$ and similarly for $\dfrac{\partial\widehat{\mathbf{f}}(z_{1},z_{2})}{\partial z_{2}}$ and $\dfrac{\partial g(z)}{\partial\overline{z}}$.
Chain Rule
Let $a$ be a complex number with real and imaginary parts $(x,y)$. For convenience, set $H:=D\left(\mathbf{h}\right)=\dfrac{1}{2}\begin{bmatrix}1 & 1\\-i & i\end{bmatrix}$.
We have
\begin{align*}
&\phantom{=}\begin{bmatrix}\Re\left.\dfrac{\partial\left(g\circ f\right)(z)}{\partial z}\right|_{a} & \Re\left.\dfrac{\partial\left(g\circ f\right)(z)}{\partial\overline{z}}\right|_{a}\\
\Im\left.\dfrac{\partial\left(g\circ f\right)(z)}{\partial z}\right|_{a} & \Im\left.\dfrac{\partial\left(g\circ f\right)(z)}{\partial\overline{z}}\right|_{a}
\end{bmatrix}\\
&=D\left(\widehat{\mathbf{g\circ f}}\right)_{\left(a,\overline{a}\right)}=D\left(\widetilde{\mathbf{g\circ f}}\circ\mathbf{h}\right)_{\left(a,\overline{a}\right)}\\&=D\left(\widetilde{\mathbf{g\circ f}}\right)_{(x,y)}D\left(\mathbf{h}\right)_{\left(a,\overline{a}\right)}=D\left(\widetilde{\mathbf{g\circ f}}\right)_{(x,y)}H\\&=D\left(\widetilde{\mathbf{g}}\circ\widetilde{\mathbf{f}}\right)_{(x,y)}H=D\left(\left(\widehat{\mathbf{g}}\circ\mathbf{h}^{-1}\right)\circ\left(\widehat{\mathbf{f}}\circ\mathbf{h}^{-1}\right)\right)_{(x,y)}H\\&=D\left(\widehat{\mathbf{g}}\circ\mathbf{h}^{-1}\right)_{\widehat{\mathbf{f}}(a,\overline{a})}D\left(\widehat{\mathbf{f}}\circ\mathbf{h}^{-1}\right)_{(x,y)}H\\&=\left(D\left(\widehat{\mathbf{g}}\right)_{\mathbf{h}^{-1}\left(\widehat{\mathbf{f}}(a,\overline{a})\right)}H^{-1}\right)\left(D\left(\widehat{\mathbf{f}}\right)_{\left(a,\overline{a}\right)}H^{-1}\right)H\\&=D\left(\widehat{\mathbf{g}}\right)_{\left(f(a),\overline{f(a)}\right)}\left(H^{-1}D\left(\widehat{\mathbf{f}}\right)_{\left(a,\overline{a}\right)}\right)\\&=\begin{bmatrix}\Re\left.\dfrac{\partial g(z)}{\partial z}\right|_{f(a)} & \Re\left.\dfrac{\partial g(z)}{\partial\overline{z}}\right|_{f(a)}\\
\Im\left.\dfrac{\partial g(z)}{\partial z}\right|_{f(a)} & \Im\left.\dfrac{\partial g(z)}{\partial\overline{z}}\right|_{f(a)}
\end{bmatrix}\left(\begin{bmatrix}1 & i\\
1 & -i
\end{bmatrix}\begin{bmatrix}\Re\left.\dfrac{\partial f(z)}{\partial z}\right|_{a} & \Re\left.\dfrac{\partial f(z)}{\partial\overline{z}}\right|_{a}\\
\Im\left.\dfrac{\partial f(z)}{\partial z}\right|_{a} & \Im\left.\dfrac{\partial f(z)}{\partial\overline{z}}\right|_{a}
\end{bmatrix}\right)\\&=\begin{bmatrix}\Re\left.\dfrac{\partial g(z)}{\partial z}\right|_{f(a)} & \Re\left.\dfrac{\partial g(z)}{\partial\overline{z}}\right|_{f(a)}\\
\Im\left.\dfrac{\partial g(z)}{\partial z}\right|_{f(a)} & \Im\left.\dfrac{\partial g(z)}{\partial\overline{z}}\right|_{f(a)}
\end{bmatrix}\begin{bmatrix}\left.\dfrac{\partial f(z)}{\partial z}\right|_{a} & \left.\dfrac{\partial f(z)}{\partial\overline{z}}\right|_{a}\\
\left.\dfrac{\partial\overline{f}(z)}{\partial z}\right|_{a} & \left.\dfrac{\partial\overline{f}(z)}{\partial\overline{z}}\right|_{a}
\end{bmatrix}\\&=\begin{bmatrix}\Re\left.\dfrac{\partial g(z)}{\partial z}\right|_{f(a)}\left.\dfrac{\partial f(z)}{\partial z}\right|_{a}+\Re\left.\dfrac{\partial g(z)}{\partial\overline{z}}\right|_{f(a)}\left.\dfrac{\partial\overline{f}(z)}{\partial z}\right|_{a} & \Re\left.\dfrac{\partial g(z)}{\partial z}\right|_{f(a)}\left.\dfrac{\partial f(z)}{\partial\overline{z}}\right|_{a}+\Re\left.\dfrac{\partial g(z)}{\partial\overline{z}}\right|_{f(a)}\left.\dfrac{\partial\overline{f}(z)}{\partial\overline{z}}\right|_{a}\\
\Im\left.\dfrac{\partial g(z)}{\partial z}\right|_{f(a)}\left.\dfrac{\partial f(z)}{\partial z}\right|_{a}+\Im\left.\dfrac{\partial g(z)}{\partial\overline{z}}\right|_{f(a)}\left.\dfrac{\partial\overline{f}(z)}{\partial z}\right|_{a} & \Im\left.\dfrac{\partial g(z)}{\partial z}\right|_{f(a)}\left.\dfrac{\partial f(z)}{\partial\overline{z}}\right|_{a}+\Im\left.\dfrac{\partial g(z)}{\partial\overline{z}}\right|_{f(a)}\left.\dfrac{\partial\overline{f}(z)}{\partial\overline{z}}\right|_{a}
\end{bmatrix}\end{align*}
This yields the following two equations: $$\left.\dfrac{\partial\left(g\circ f\right)(z)}{\partial z}\right|_{a}=\left.\dfrac{\partial g(z)}{\partial z}\right|_{f(a)}\left.\dfrac{\partial f(z)}{\partial z}\right|_{a}+\left.\dfrac{\partial g(z)}{\partial\overline{z}}\right|_{f(a)}\left.\dfrac{\partial\overline{f}(z)}{\partial z}\right|_{a}$$ $$\left.\dfrac{\partial\left(g\circ f\right)(z)}{\partial\overline{z}}\right|_{a}=\left.\dfrac{\partial g(z)}{\partial z}\right|_{f(a)}\left.\dfrac{\partial f(z)}{\partial\overline{z}}\right|_{a}+\left.\dfrac{\partial g(z)}{\partial\overline{z}}\right|_{f(a)}\left.\dfrac{\partial\overline{f}(z)}{\partial\overline{z}}\right|_{a}$$ Using shorthand, these can be rewritten in the more familiar form: $$\dfrac{\partial\left(g\circ f\right)}{\partial z}=\left(\dfrac{\partial g}{\partial z}\circ f\right)\dfrac{\partial f}{\partial z}+\left(\dfrac{\partial g}{\partial\overline{z}}\circ f\right)\dfrac{\partial\overline{f}}{\partial z}$$ $$\dfrac{\partial\left(g\circ f\right)}{\partial\overline{z}}=\left(\dfrac{\partial g}{\partial z}\circ f\right)\dfrac{\partial f}{\partial\overline{z}}+\left(\dfrac{\partial g}{\partial\overline{z}}\circ f\right)\dfrac{\partial\overline{f}}{\partial\overline{z}}$$
However, what I don't get it is how we can write any arbitrary function $f(z)=f(z,\bar z)$
$$ $$
You can't. $f(\bar z)$ means you replace your variable $z$ with $\bar z$.
– Kaster Feb 19 '16 at 22:41