However, Martinez is confident that the 42-year-old will not lose his focus ahead of Saturday's trip to Swansea City in the Premier League.
"It's always a massive compliment when other clubs see the good work that you are doing at your football club," he 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.
"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."
Jones was linked with the Swansea City job last summer before Michael Laudrup took over at the Liberty Stadium.