It is the first time the club from the small Lancashire town has reached the final of the world's oldest club competition. Martinez says the place is buzzing with anticipation.
"Getting to the FA Cup final is a real achievement. Obviously now we want to win it, otherwise it can be a difficult experience," Martinez told Eurosport-Yahoo!
"This is an incredible story for Wigan Athletic. When I arrived in '95, I knew that the project from our chairman was going to be something special, but I could never imagine reaching the heights the club has now.
"Already we are living a special feeling in the town - the town is proud of Wigan Athletic and there is an immense feeling of excitement.
"It's more than a competition. It's a way of living, of growing up with memories of the FA Cup - to be part of it something now is unique.
"Our chairman Dave Whelan has a difficult experience in the 1960 FA Cup final - his experiences now with Wigan bring everything around full circle and closure for him, leading the team out at Wembley.
"I'm not someone who takes playing at Wembley as an important part of your career. I missed out on playing there... it's just a consequence of your work.
"Probably from the outside you could see playing at Wembley as a key moment of your career - but I never really saw it in that way."
For more from Martinez ahead of Saturday's FA Cup final, watch the full video above.
Roberto Martinez was speaking to Yahoo!'s 'The Dugout' through its partnership with the League Managers Association