Bone marrow lesion (BML) volume is a potential biomarker of knee osteoarthritis (KOA) as it is associated with cartilage degeneration and pain. However, segmenting and quantifying the BML volume is challenging due to the small size, low contrast, and various positions where the BML may occur. It is also time-consuming to delineate BMLs manually. In this paper, we proposed a fully automatic segmentation method for BMLs without requiring human intervention. The model takes intermediate weighted fat-suppressed (IWFS) magnetic resonance (MR) images as input, and the output BML masks are evaluated using both regular 2D Dice similarity coefficient (DSC) of the slice-level area metric and 3D DSC of the subject-level volume metric. On a dataset with 300 subjects, each subject has a sequence of 36 IWFS MR images approximately. We randomly separated the dataset into training, validation, and testing sets with a 70%/15%/15% split at the subject level. Since not every subject or image has a BML, we excluded the images without a BML in each subset. The ground truth of the BML was labeled by trained medical staff using a semi-automatic tool. Compared with the ground truth, the proposed segmentation method achieved a Pearson's correlation coefficient of 0.98 between the manually measured volumes and automatically segmented volumes, a 2D DSC of 0.68, and a 3D DSC of 0.60 on the testing set. Although the DSC result is not high, the high correlation of 0.98 indicates that the automatically measured BML volume is strongly correlated with the manually measured BML volume, which shows the potential to use the proposed method as an automatic measurement tool for the BML biomarker to facilitate the assessment of knee OA progression.