The Frenchman returned to haunt former employers Newcastle on Saturday, bagging a brace as Latics played out a 2-2 draw at St James' Park.
N'Zogbia's impressive showing has once again led to reports that he could soon be on his way to pastures new, having spent much of the summer embroiled in transfer speculation.
A £9million switch to Birmingham collapsed at the last minute, as deadline day approached, and the 24-year-old ended up sticking with Wigan.
Martinez is delighted to still have the tricky playmaker at his disposal and admits that he will be reluctant to part with N'Zogbia during the winter transfer window.
"Charles' value will go up because he is only 24 and playing for the national team," said the Spaniard.
"But he's someone we don't want to lose."
Martinez has also revealed how he was happy to hear the Newcastle supporters berate their former star over the weekend, with N'Zogbia having matured into a player who thrives in a hostile environment.
He added: "Last season Charles took his ability to another level, and this season he has carried on. He's improved a lot.
"He understands why he would get a bad reception here (Newcastle), but he's got experience and he sees it as a compliment.
"It makes you feel like you're a threat, someone who hurts the opposition.
"You could say I was happy to hear the boos. It drew a reaction from him. We knew how the Newcastle fans would react and he relished the challenge."