The Republic of Ireland international has become a key player for the Latics since joining from Hamilton in July 2009, and he scored both goals in Saturday's 2-2 draw with QPR.
Wigan are not strangers to losing star players to other clubs having seen Leighton Baines, Antonio Valencia, Wilson Palacios and Victor Moses all depart to more established Barclays Premier League outfits.
And Martinez would not be surprised if McCarthy was the latest player to attract interest.
He said: "That's the nature of the game.
"Manchester United lost (Cristiano) Ronaldo so I'm not concerned about that. I'm pleased to see him improving, taking responsibility, enjoying his football and putting in performances to get results for Wigan.
"James McCarthy has got the potential to play anywhere in the world and whenever he's ready we'll never stop him.
"But he is at a very good club now and we want top players to stay here as long as they can."
After joining Chelsea from Wigan earlier this year, Victor Moses has made a good start for the Blues, but has started just four league games.
With competition for places at top clubs as competitive as ever, the same fate could await McCarthy if he were to leave Wigan Athletic.
Martinez said: "If you don't play you'll never fulfil your potential.
"James has had a massive role. The way he is developing wouldn't happen if he didn't play."