The aim of this paper is to shed some light on the use of fuzzy measures and integrals as aggregation operators in multicriteria decision making. These techniques have been widely used on an ad hoc basis, but with no axiomatization. It is possible to obtain preference representation theorems in multicriteria decision making problems, relying on a formal parallelism between decision under uncertainty and multicriteria decision making. Though, it raises some commensurability problems. In this paper, we show how to obtain an axiomatization of multicriteria decision making problems, in a very natural way, and we show how to solve the commensurability problem in a particular case.