Jones has been Martinez's No.2 for the past four years and he was linked with a return to former club Swansea City in the summer following Brendan Rodgers' appointment as Liverpool boss.
He has now been mooted as a contender for the Burnley post following Eddie Howe's return to Bournemouth, but Martinez is determined to keep Jones at the DW Stadium.
"It's always a massive compliment when other clubs see the good work that you are doing at your football club," Martinez told the Wigan Evening Post. "That's the case for players and it also applies for the staff as well, in this case Graeme.
"What we have to do is keep focused on the job we have to do here, and the goals we have set ourselves to achieve this season.
"This is a really important time at our football club, and it could turn out to be a significant building block in our legacy as a football club.
"We are very focused on what we have to achieve this season and that's not going to change."
Wigan face Swansea on Saturday and Martinez added: "I'm sure he'll take the rumours on board, but he won't let it affect his work in preparing for Saturday's game.
"It's something that goes with the territory when you are involved in football.
"When you do the right things, this sort of thing comes along - the same as when you don't do the right things, other things come along."
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