While on international duty with Belgium, the striker told the media that he could leave Everton in the summer as he wants to fulfil his desire of playing Champions League football.
Lukaku, who has been in fine form this season having scored 25 goals in all competitions, has been linked to Manchester United, Borussia Dortmund and Juventus.
However, Martinez has claimed that he is not surprised by the speculation and is only interested in what Lukaku delivers on the pitch.
"It's normal," the Spaniard told reporters in Friday's press conference. "Every time we lose the players for the international [break], we get attracted to what the players have to comment [on]. Nothing will take us away from the concentration of the next two months.
"Rom is having a really good season, he needs to make it an outstanding season with the two months that we have left. That's the only talking that I'm looking at - the talking on the pitch in the team and the way he's been growing in confidence this season, that's the only thing that matters. This speculation always [happens] because he's performing well on the pitch and people want to have a say on that.
"[His comments are] not unsettling because [playing in the Champions League] should be the aspiration of everyone - trying to reach the best competitions. At Everton we have that aspiration, we want to be in the Champions League, we want to be competing for titles. We want to create a real good, positive momentum and the players need to be part of that."
Lukaku joined Everton on a permanent deal from Chelsea in the summer of 2014 for a £28m fee.