The former Latics striker is a free agent after being released by Aston Villa at the end of last season.
"Emile asked to come in to keep himself fit, and we've all obviously got some great memories of his time with Wigan Athletic," Martinez told the Wigan Observer.
"He is always welcome at our football club, and his presence will be great for the youngsters as part of their learning curve.
"Any session where you get the opportunity to work with someone like Emile Heskey is something that every one of our players should be taking advantage of.
"Emile is always welcome at Christopher Park, he can stay for as long as he likes."