After recovering from an early setback, Belgium were two goals ahead at the break, Christian Benteke heading home twice in quick succession after earning the penalty that saw Kevin Mirallas level proceedings.
Nacer Chadli was the architect for both of the Crystal Palace striker's goals and he continued to create chances in the second half, only for Benteke and Toby Alderweireld to fail to convert.
Ultimately it cost the visitors as Aleksey Miranchuk and Aleksandr Bukharov snatched a draw for Russia, the latter firing under Simon Mignolet in stoppage time - much to the frustration of Martinez.
"I do not hide it, I'm very disappointed," he said, as quoted by Het Nieuwsblad. "We came here to play a good game and we must never relinquish a 3-1 lead.
"I see several reasons why we were so bad in the last 20 minutes. The six substitutions I've made have not done well. Then the intensity fell off, the team dropped their concentration and the result is goals.
"Sometimes there were individual mistakes, but that can happen, after making mistakes you become stronger.
"It is also a friendly match so you must put everything into perspective. But it is no excuse."
The impressive Chadli was also angered by the late demise at the Fisht Stadium. He added: "This is a match we should always win.
"We had control from the first minute, we always had the ball, but we let the Russians create too many chances.
"We continued to maintain control in the second half, but we then give away two goals in the last quarter, which we should not have.
"This is a game we should have never thrown away."