The Bavarians have already wrapped up the league and have also reached the DFB-Pokal final and the Champions League semi-finals.
Martinez said, however, that winning the Champions League, in which Bayern have been beaten finalists in two of the last three seasons, is the big target now.
"He's an important part of the team and a great coach," AS quotes Martinez as saying.
"Much of the success we've had, and what we can still achieve is down to him.
"We want to give him a something to cheer about in his goodbye. He backed me, he gave me confidence and I've got so much to be grateful to him for."
Former Barcelona coach Pep Guardiola will take over from Heynckes at the end of the season.