A Thorgan Hazard brace had Belgium in control in Luzern, only for the hosts to take the lead before half-time on their way to a win that sent them into the Nations League Finals.
Haris Seferovic scored a hat-trick to go with a Ricardo Rodriguez penalty and Nico Elvedi goal as Xherdan Shaqiri provided two assists.
Both Thibaut Courtois and Thomas Meunier pointed to Belgium thinking the job was done with the early lead, but Martinez downplayed any suggestion of arrogance from his side and said the rout was down to them not defending.
Martinez was happy with his team's start but said they simply gave up control of the game and were never able to regain it.
"Arrogance? No, we were surprised on counter-attacks, we forgot to defend well," he said.
The 45-year-old was still at a loss to explain how his side's collapse, though he hopes they can learn from the experience.
"It's very difficult to give an explanation. We started well, then at a certain point, Switzerland had nothing to lose," he continued.
"We gave them opportunities to come back in the game. We must come out stronger, try to understand what we have done wrong. It is all the more painful that we had started very well."
Disappointed we couldn't qualify for the #FinalFour @Fanclub1895 thx 4being with us this #NationsLeague !— Belgian Red Devils (@BelRedDevils) November 18, 2018
2018 brought us ups and downs.
We'll focus now on #EURO2020 qualification.
See you next year #REDTOGETHER #SUIBEL pic.twitter.com/u1h7Va9A4m
The win saw Switzerland finish top of Group 2 in League A courtesy of head-to-head goal difference, booking the side a ticket to the Nations League finals in Portugal next summer.
And hat-trick hero Seferovic believes it was a "perfect" night for the Swiss side after their stunning comeback.
"After we made it 2-1 and then 2-2, we knew everything was possible," he told UEFA.com
"We wanted to win the game and after that it was the perfect game for us. We passed the ball perfect and all the people in the stadium and all the staff were for us.
"I think today was the perfect day for everyone."