Hamilton had been pulling away in the lead when his engine expired on the pit straight 15 laps from the chequered flag. The Briton confirmed it was one of the three 'new' engines he had secured via multiple grid penalties in Belgium that had let go.
Hamilton's frustration told in his immediate comments to reporters in Sepang, when he said: "Something just doesn't feel right - it was a brand new engine, I'd done just one race with it.
"I just can't believe that there's eight Mercedes cars, and only my engines are the ones that have been going this year. Something just doesn't feel right, but there's nothing I can do about it.
"There's not really much to do - it is what it is, we'll just move forward and try to continue driving like I did this weekend. The guys did a fantastic job this weekend, and we did everything we could; I did everything I could.
"I know that we have it within us, my engineers and my mechanics, I know we've got it in us - but who knows what the engines are going to do.
"I'm just going to keep my head down and hope for the best - but obviously today was not a good day."
Sometime after making his first comments, however, Hamilton was in a more reflective mood, and paid tribute to both his fans and his team in a statement posted on social media.
"I want to say a huge thank you to the fans who stood on their feet in the blazing hot sun, or from their sofas at home, watching and supporting me this weekend," he said.
"I'm so grateful. I have 100% faith in my team, they have worked so hard both at the track, and factory, and I want to say a huge thank you."
In Hamilton's absence, Rosberg went on to finish in third place, having dropped to last after being tapped into a spin at the first corner by Sebastian Vettel.
WATCH: Hamilton's race goes up in smoke in Sepang
Unfortunately, we are unable to play the video at this time.
Error Code: UNKNOWN