Manchester United midfielder Fellaini limped out after only 29 minutes of the contest, played on a potholed Sarajevo pitch. Anderlecht midfielder Leander Dendoncker took his place.
Medical staff assessed Fellaini on the pitch and he appeared to indicate he had damaged his left knee.
“We are concerned about Fellaini,” Martinez told reporters after the game. “I'm afraid of a ligament injury. Further tests must show that.”
The 29-year-old has already been ruled out of Tuesday’s World Cup qualifier against Cyprus.
Fellaini’s absence would be keenly felt by United manager Jose Mourinho, who has come to rely on the midfielder’s versatile skillset.
His absence would leave Mourinho facing a selection headache for Saturday’s trip to Liverpool, with midfielders Paul Pogba and Michael Carrick already ruled out. Romelu Lukaku also picked up an injury during the break and did not feature as Belgium overcame a 3-2 deficit to claim victory on the road.