Martinez, after being sacked by Everton, is now Lukaku's Belgium coach.
Lukaku told HLN: "In the three years we have worked together, Ross Barkley and I were the ones with whom he worked most of the training.
"He asked us to stay longer because he believed in our potential. Not that we are already there or anything, but he knows perfectly where I can improve and he will also say.
"He is very direct with other players. Everything is very clear and everyone knows what to do on the pitch. I think that's positive for the rest of the team."