Martinez has revealed that he and Cazorla speak regularly and that his Spanish international colleague is loving life in London.
He told The Sun: "I speak to Santi a lot. He is a big friend of mine and we speak a lot and exchange a lot of texts.
"Santi is very comfortable in London. It is a place he likes and he enjoys playing for Arsenal.
"He keeps telling me how they are determined to come and win and do something special. We have to be very careful of him as he can hurt teams."
Bayern twice came from behind against Fortuna Dusseldorf at the weekend to record their 11th straight victory in all competitions.