The Manchester United midfielder lasted just half an hour in Sarajevo before limping off with a knee problem while the score was still 1-0 to his side.
Belgium went on to maintain their unbeaten qualifying campaign in a topsy-turvy encounter, but Martinez revealed that the victory may have come at a cost.
"We are concerned about Fellaini. I'm afraid of a ligament injury. Further tests must show that," he told reporters.
Fellaini has already been ruled out of Belgium's World Cup qualifier against Cyprus on Tuesday and is now likely to be a major doubt for United's trip to face Liverpool at Anfield on Saturday.