After last night's 2-1 victory over Stevenage in the League Cup, Martinez rejected reports that Baines had asked the club to allow him a switch to Old Trafford.
In this morning's press conference, Martinez said: "I said last night after the game, I am not going to talk about stories and speculation. We are at the end of the transfer window and we will have to cope with those stories. We can't lose focus and we must concentrate on the games.
"I am not going to comment on anything on the transfer window, coming in or going out. If there is anything to say, the fans will be the first ones to know. We will let them know."
The Toffees are due to take on Cardiff City in the Premier League this Sunday.