Senad Lulic gave Lazio hope of an unlikely comeback with a thumping header on the hour but Caner Erkin's strike after 73 minutes with Fenerbahce's only shot on target took the pressure off the Turkish side who eased into the last four.
Lazio, who had to play the game behind clsoed doors at the Olympic Stadium as a punishment for their fans' poor behaviour, had the best of a tight first half but had to be content with shooting from range.
Ederson came closest to bringing the tie to life four minutes before the break as Lazio pressed, ramming a close range shot against keeper Volkan Demirel's feet from a tight angle.
Midfielder Lulic got Lazio back into the tie when he powered home a header from Antonio Candreva's superb free-kick.
But despite dominating play and frequently forcing the visiting side into some clumsy defending, Lazio were effectively out of the competition 13 minutes later when Erkin struck.
Pierre Webo did well to set up the Turkish international, who dropped his shoulder to send right back Michael Ciani the wrong way before firing home at Federico Marchetti's near post leaving Lazio needing three goals to go through.
The hosts did not give up and could have scored twice more, first when Demirel had to stretch to save Lorik Cana's powerful header after 82 minutes and two minutes later when Joseph Yobo almost headed past his own keeper from outside the area.
But Fenerbahce held on to take their place in Friday's semi-final draw and leave the Italians rueing their missed chances.
