Social media fake news has become a pervasive and problematic issue today with the development of the internet. Recent studies have utilized different artificial intelligence technologies to verify the truth of the news and provide explanations for the results, which have shown remarkable success in interpretable fake news detection. However, individuals’ judgments of news are usually hierarchical, prioritizing valuable words above essential sentences, which is neglected by existing fake news detection models. In this paper, we propose an interpretable novel neural network-based model, the hierarchical co-attention selection network (HCSN), to predict whether the source post is fake, as well as an explanation that emphasizes important comments and particular words. The key insight of the HCSN model is to incorporate the Gumbel–Max trick in the hierarchical co-attention selection mechanism that captures sentence-level and word-level information from the source post and comments following the sequence of words–sentences–words–event. In addition, HCSN enjoys the additional benefit of interpretability—it provides a conscious explanation of how it reaches certain results by selecting comments and highlighting words. According to the experiments conducted on real-world datasets, our model outperformed state-of-the-art methods and generated reasonable explanations.