The Chelsea striker has moved to Inter on a season-long loan.
Argentina international Martinez had previously been linked with Tottenham and Chelsea.
However his agent, Alejandro Carmano, told La Gazzetta dello Sport: "There's a link between them, that's evident. Wearing this shirt isn't for everyone.
"It's a great thing. Lautaro is happy in Milan, he feels like he's at the centre of things, he's loved. Why would we want to leave? To where? We're already at the top."