The Daily Mail reports that the 25-year-old has not handed in an official transfer request but has told Martinez that he wants to leave.
Manchester United have made several bids for both Fellaini and left back Leighton Baines this summer and are keen to sign the duo before the transfer window closes.
Martinez said: "The way you work in the transfer market is to always think about the unthinkable. You always have to work in a way which means that if the worst was to happen, and you picked up one or two injuries, you need to replace players.
"Thatís the norm so you always have to work like that.
"I have told the chairman (Bill Kenwright) I donít want to know anything thatís going on (with United). I only want to know the final news. I have had enough of "he said this, he said that".
"This is sensitive."