Martinez has been tracking Callejon for some time, and the 23-year-old recently affirmed his desire to move to the Premier League.
But Martinez reckons a fee rumoured to be around £4.5million may price him out of the market.
Despite a record of just four goals in 55 matches, Martinez said: "He is someone I've admired for a long time, not just now he is at Espanyol, but also previously when he was with Real Madrid B.
"Every time he plays well for Espanyol I know the next morning he is again going to be linked with us.
"But he is a big asset for Espanyol as he can play in a number of positions, and I don't think they will want to lose that sort of player.
"Although the Spanish market is not the most expensive in Europe at the moment, he will probably be too expensive for us."
Another target is Hamilton's 22-year-old midfielder James McArthur, who is also known to be attracting the interest of Rangers.
Martinez raided Hamilton last summer for 19-year-old James McCarthy who has been one of the club's success stories this season to such an extent he has already been linked with a move away to a bigger club.
As for McArthur, Martinez said: "He is another player we've been following for a long time.
"We're not a club that can rely on our cheque book to bring players in. We need to be creative.
"We also need to sign the right characters, and to do that you need to follow them for a long, long period, and James has been one of the top performers in the Scottish League this season."