De Gea is set to join Manchester United in the coming days.
"It's true, we had David signed on a loan deal, but unfortunately on the last day of the transfer window everything fell through," Martinez told the Wigan Evening Post.
"The problem wasn't on our side of the agreement - Atletico Madrid just felt he had to stay, and they were proved to be right.
"Shortly afterwards, their two senior goalkeepers got injured, he got an opportunity and he quickly became a hero. And everyone has been able to see for themselves the true quality of David de Gea."
De Gea's rise to superstardom - he inspired Atletico to the Europa League in his first year and the European Super Cup last term - has been little short of meteoric.
But the Wigan boss is not surprised at how fast the young man has made it to the top.
"We followed him for a long, long time, and we have always known how good he is," Martinez added. "He has matured so much at such a young age, and the price tag Manchester United are talking about already looks to be a bargain."