The notion of fuzzy event is introduced in the theory of measurement in quantum mechanics by indicating in which sense measurements can be considered to yield fuzzy sets. The concept of probability measure on fuzzy events is defined, and its general properties are deduced from the operational meaning assigned to it. It is pointed out that such probabilities can be derived from the formalism of quantum mechanics. Any such probability on a given fuzzy set is related to the frequency of occurrence within that set of points in a random sample, where the sample points are themselves fuzzy sets obtained as outcomes of measurements of, in general, incompatible observables on replicas of the system in the same prepared state.