The low of relegation comes just three days after surely the greatest high in Wigan's history, Saturday's FA Cup final win over Manchester City at Wembley.
And Martinez said: "I never expected this. I know we were in a difficult position but I never expected this to happen.
"They're an incredible bunch and they don't deserve this - though obviously at the end of the season you are where you deserve.
"'m glad, on the other side, they were able to show what they are capable of. To win the FA Cup is an incredible achievement.
"The FA Cup gave us a bit of hope to finish the season in the league on a real high, the youngsters came in and gave us a different sense of confidence.
"It was great to win the FA Cup, that will live forever for the fans. Today is really disappointing but it is something we can rectify.
"It's a difficult time but it's time to look back, get stronger and prepare for the future.
"We've had an incredible eight years in the Premier League and we have to take the good things from last few years, and there are many. We'll bounce back as we always do at Wigan.
"We're on a fantastic financial footing, we have huge assets and a philosophy for the long term.''