Bangladesh lost every match in all three formats, with David Miller smashing the fastest century in Twenty20 history off just 35 balls from the hapless visitors.
Bangladesh Cricket Board president Nazmul Hasan said the players, managers and coaching staff would be questioned over the woeful showing.
"The overall performance was very bad. Of course, we have some questions," Hasan told reporters in Dhaka.
"We have to know if there were other problems. We all know Bangladesh can lose games, but we cannot accept the way they lost them."
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Bangladesh only attained Test status in 2000, and rank ninth on the international ladder, but have enjoyed some recent wins at home over Australia, Sri Lanka and England.
But their drubbing abroad has highlighted the bigger challenge for the cricket minnows, Hasan said.
Bangladesh are expected to host Sri Lanka in January in their next series, before travelling to the West Indies in February.