And he apologised to the club's supporters who witnessed the capitulation at Easter Road.
The odds were always stacked against the Edinburgh outfit after conceding twice in the first leg in Sweden, but they crashed out of the second qualifying round of the Europa League in humiliating style with a 9-0 aggregate thrashing over the two legs.
Fenlon said: "I'm embarrassed more than anything else. It's difficult to say too much to be honest.
"We did alright at the start of the game and then conceded a goal and lost our way. It's very, very disappointing.
"It's difficult to say anything after a game like that. I've got to look at myself and not just blame players.
"The fans were fantastic and I apologise to the supporters.
"I won't make excuses, it's not good enough. I know how they're feeling."
Asked if the heavy defeat was the worst of his career, Fenlon said: "It feels like it at the moment. We've had some bad days and this is a bad day.
"You have to learn, it's as simple as that. Managers have to learn and players have to learn.
"It's difficult at this stage to be too positive about anything so I'm disappointed with that."
Hibs' misery was compounded when skipper James McPake was forced out of the action early on with a back problem and is now expected to be sidelined "for a while", according to Fenlon.
The only positive news on an otherwise difficult night was that Swindon striker James Collins appeared to be edging closer to signing for Hibs after apparently indicating on Twitter that the deal was done.
Fenlon said: "I haven't seen the chairman today.
"We were in negotiations with him and his club and I don't know where it got to.
"We have been working away on it so hopefully we can get it done."
Malmo coach Rikard Norling felt the loss of McPake was a factor on the night for Hibs and bolstered his own side's chances.
He said: "We had a lucky day. Every time we came close to the goal it seemed that the ball wanted to go in for us.
"Our fans are always supporting is but to have a round of applause of respect from the Hibernian fans was a very good feeling for us.
"We played well and we had some good attacking play.
"I think when McPake had to go off, maybe Hibernian lost a little bit of belief."