Schevchenko scored his first in the 16th minute, putting the ball in the back of the net on a one-on-one breakaway against Fenerbahce goalkeeper Volkan Demirel.
The Ukraine striker was a consistent danger on the attack, creating space and sprinting through the Fenerbahce defense. Schevchenko scored again on a breakaway in the 52nd after the Turkish defender lost his footing on the wet pitch.
In the 64th, Schevchenko was slowed by Volkan and blocked off the goal line by a recovering Serkan Balci. Schevchenko found the back of the net two minutes later, though, and then scored his hat trick on a breakaway in the 70th.
Six minutes later, it was 4-0 when Schevchenko put in a cross from substitute Christian Vieri. Fenerbahce played without Brazilian Alex de Souza, who was out with a hamstring injury.
Fenerbahce was also playing without the suspended Marco Aurelio and Fabio Luciano. France striker Nicolas Anelka rarely looked dangerous as Fenerbahce's sole forward. Anelka hardly touched the ball in the match, and was often forced to challenge for high balls against two or three AC Milan defenders.
Milan was without suspended Jaap Stam and injured Brazilian defender Cafu. With the loss, Fenerbahce loses any hope of advancing in the Champions League tournament, while AC Milan improves to seven points in Group E, AP reports.