Martinez feels it is a sign of the fine squad he has at his disposal - even if it is currently fighting a relegation battle - that such players are being linked with big-money moves.
Winger N'Zogbia, a £6million capture from Newcastle 14 months ago, has arguably been Wigan's star performer this season.
As for Rodallega, the Colombia striker has performed admirably in his debut season in the Premier League, scoring nine goals.
If the rumours are to be believed, Gunners boss Arsene Wenger will have the opportunity to view both players at close quarters during Sunday's game at the DW Stadium.
"It's part of the season," said Martinez.
"You're not going to stop the speculation, with agents trying to put those kind of rumours in the press.
"What is clear is we need to have more rumours like that because in a way it will show we are doing something right at Wigan Athletic.
"It will show we have the players with the potential to play in the top four, and that's the only way we can go to the next level.
"I've said from the first day I want to see Wigan in Europe, in the top 10 challenging in the Premier League, and to do that you need the players.
"When you look at the youngsters we've in the squad right now, it's quite clear they've the potential to play in the top four, and that really excites me.
"So the more stories we get the better. If they are true or not, you will have a better idea than me."
Martinez is again likely to be without Hendry Thomas due to a quad injury, whilst defender Gary Caldwell completes a three-match ban.