In the Content Browser, go to Add New and create a Material Parameter Collection, which can be found under the Materials & Textures advanced asset heading. In there, you can set up a custom scalar parameter and change the name and default value.
From there, drag the material parameter collection into the material of the object that you want to fade out. If the object has multiple materials you’ll have to do this for every material in the object. You’ll be able to select the parameter that you created in the details menu of the Material Parameter Collection, then plug the node into the opacity.
You can then drag the Material Parameter Collection into the Sequencer, select the parameter that you want to animate (in this case the opacity that you’ve plugged into the materials), and set your keys from 1 to 0. This should fade it out.