The Argentine, who took over the Basque team in July 2011, is rumoured to be courted by a number of sides from all over Europe after a stellar first season with the La Liga outfit.
Martinez, however, has stressed that should Bielsa remain at Bilbao, it would serve as a major boost to the Europa League runners-up.
"We do not know, and the coaching staff don't either. If you [the reporters] are intrigued, just imagine how we are," the Spain international told Marca on Friday.
"I've always said I'm very happy and would like to continue [in Bilbao]."
Athletic Bilbao face Barcelona in the Copa del Rey final next Friday with the kick-off at the Vicente Calderon set for 22.00CET.
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