Wigan are no strangers to losing star players to other clubs having seen Leighton Baines, Antonio Valencia, Wilson Palacios and Victor Moses all depart for other Barclays Premier League clubs, the latter joining Chelsea earlier this season.
Martinez would certainly not be surprised if McCarthy was the latest player to attract interest, saying: "That's the nature of the game.
"Manchester United lost (Cristiano) Ronaldo so I'm not going to be concerned about that. I'm pleased to see him improving, enjoying his football, taking responsibility and putting in performances to get good results for Wigan Athletic.
"James McCarthy's got the potential to play anywhere in the world and whenever he's ready we'll never stop him. But James McCarthy is at a very good club now and we want top players to stay here for as long as we can."