We experimentally demonstrate femtosecond cylindrical vector beams (CVBs) and high-order optical vortex beams (OVBs) based on a mode-locked fiber laser (MLFL) by using a fused few-mode coupler. The fused SMF-FMF coupler inserted in the cavity not only acts as mode converter from fundamental mode to high-order fiber modes with a broadband width, but also directly delivers femtosecond vortex pulses out of the mode locked cavity. Mode coupling is analyzed in the coupling region between the fundamental mode in SMF and a high-order mode in FMF. Linearly polarized vortex modes can be obtained by combining different vector modes. Such ultrafast vortex beams are expected to fabricate a chiral nano-structure originated by angular momentum transfer of the optical vortex to a material. A shorter pulse of the MLFL is supposed to be implemented by optimizing the dispersion of the laser cavity.