The Spaniard, who was handed his first managerial role by the Swans in 2007, takes the Blues to the Welsh capital this afternoon looking for his first league win since taking over from David Moyes.
"I had a really good time in South Wales," the 40-year-old told reporters. "I will get a welcome - I'm just not sure what it will be.
"I have great memories from my time down there but we will have to be on our guard because after deservedly beating Manchester City last weekend, they will be looking for another good performance."
Martinez is pleased with the way his players have adapted to his changes, but still feels that they need to be sharper in the box.
"I have been really impressed in the way we have been so stubborn in terms of what we are trying to do," he added. "That is a difficult strength to show when you are trying to impose change or do things differently.
"We have been creating a lot of chances but at the moment we need too many to score goals. Now we need to focus on the final third."
Martinez guided Swansea to promotion from League One in 2008.