The VAR replays seemed to back up his assertion, but referee Ben Abraham - in his first A-League fixture - and VAR referee Craig Zetter both couldn't find evidence to overturn Abraham's original decision, awarding Melbourne the penalty, much to the disgust of the Phoenix players.
It was converted by Craig Noone, giving Melbourne a 3-1 lead, and the goal turned out to be pivotal when Ben Waine scored in the 93rd minute to make the final score 3-2.
In the post-match interview with Fox Sports, Fenton then took aim at the decision.
"It didn't even f.....g hit my hand. It's f....d," Fenton told interviewer Archie Thompson, before storming off.
The decision was a major factor in what became the Phoenix's fourth straight loss to start the season. On the run of play, Melbourne City created enough chances to claim they were deserved winners. But Wellington took the lead in the 24th minute when debutant Gary Hooper headed in a corner at the far post.
City equalised in the 30th minute through Connor Metcalfe, then took the lead via Scott Galloway four minutes later.
Young midfielder Metcalfe got between two defenders to head home at the far post, while former Phoenix player Galloway cut in from the right to fire in a great goal from outside the penalty area with his left foot.
Wellington's frustration was complete when Ben Waine scored his first A-League goal, tapping in a cross at the far post in the 93rd minute.
Melbourne City 3 (Connor Metcalfe 30, Scott Galloway 34, Craig Noone 63 pen) Wellington Phoenix 2 (Gary Hooper 24, Ben Waine 90+3) HT: 2-1