Lazio scored to reduce the deficit to 2-1 on aggregate but the Turkish side made sure of their advancement to the semi-finals.
"We're in three tournaments and we've made history today – it's been a great season so far," UEFA.com quotes Yobo as saying.
"They forced us to defend because we had a 2-0 lead. They were playing at home so we expected that. We thought if we could come out of the first half with a 0-0, that was going to help us, but credit to them – I think they forced us to the limit.
"I think it helped a little to have our fans in the first leg. It's always difficult when you get to the knockout phase whoever you meet; it's always going to be tough."
Fenerbahce will face Chelsea, Basel or Benfica in the semi-finals.