Martinez has been linked with Atletico Madrid this month.
But he said on Wednesday: "I found out about Real Madrid this morning. I read some stuff and then my agent told me he wanted to speak to me".
He went on to say he still hadn't actually spoken to him, because he "had had a couple of things to do".
Martinez also revealed he had several offers to leave Racing last summer.
"My idea was always to stay at this club. I won't allow anything to happen that isn't the best for Racing," he added.