The introduction of the multiscale entropy (MSE) method was a milestone in the field of complex physiological signal analysis. However, since MSE is inapplicable for short signals, several variants of MSE have been proposed. One of the most important variants of MSE is the modified multiscale entropy (MMSE), even though it can still produce biased estimates due to the hard similarity criteria of sample entropy. Taking the advantages of MMSE and the concept of fuzzy entropy, we propose the modified multiscale fuzzy entropy (MMFE). We evaluated the robustness of MMSE and MMFE using segmented stochastic noises and actual heart rate variability series and compared it with the classical MSE results obtained with the full signals. Results show that MMFE is much more robust than MMSE for short physiological time series, resembling MSE for series as shorter as 400 samples. We also show the existence of an exponential relationship between the MMFE fuzzy parameter and the signal size. We suggest the use of this relationship to choose the optimal MMFE parameter as part of the method.