Martinez was shown on German television having a medical at Bayern and Spanish and German media have reported his move to the Bundesliga is imminent in a saga that has dragged on for several weeks.
"Athletic Club would like to make clear that at no time did they authorise the trip their player Javier Martinez made to Munich on August 28," Bilbao said in a statement on their website.
The club had asked the player for an explanation, the statement added.
Bayern made no comment on Wednesday.
Bilbao have made it clear they want to hold on to both the 23-year-old Martinez and his Spain team-mate Fernando Llorente, who has said he wants to leave and has been linked in media reports with a move to Italian champions Juventus.
The uncertainty over the pair's future has disrupted the Basque club's start to the season and they are bottom of La Liga after losing their opening two matches.
Martinez and Llorente were left out of the squad for both games and have not travelled with the rest of the squad to Finland for Thursday's Europa League playoff second leg against HJK Helsinki.
Bilbao won last week's first leg at the San Mames 6-0.