The winger was linked with a move to Palace after spending the first half of the season on loan at Nottingham Forest.
Martin, who has previously had loan spells at the likes of Plymouth Argyle and Sheffield United, is also a rumoured target of Leeds United.
However, Warnock has revealed that he turned down the chance to sign Martin, who has yet to make a first-team impact at Old Trafford.
"His agent rang me and I said no, and then it's in the paper the next day," Warnock told the South London Press.
"I'm not interested."
Warnock did reveal that he tried to sign Gary McSheffrey on loan last week, only for the attacker to join Nottingham Forest from Birmingham City.
He added: "We went after McSheffrey, but we couldn't afford his wages."