Relegation came only three days after the finest day in Wigan's history when they beat Manchester City at Wembley last Saturday to win the FA Cup, and the trophy was displayed on the pitch before and after Sunday's game.
There was no doom and gloom around the DW Stadium and thousands of fans stayed after the match to cheer the Wigan squad.
Martinez said: "I'm very proud. When you enjoy the moments that we had with our fans, you can only feel proud.
"It's been an emotional week. We're always a unique football club, we've been doing that season after season. Even in relegation, we have to do it in the most unique way - winning the FA Cup and getting relegated, the first team that has ever done that.
"It's been a rollercoaster of emotions this week but when you have the supporters that we have, they are the reason why we are so proud of our football club.
"We need to get stronger in the league and regain our Premier League status. I think, over the last eight seasons, we've made sure everyone knows Wigan Athletic belongs at this level."