Martinez has replaced Steve Bruce as manager at the club and has signed a three-year contract with the club.
“I will never sack Roberto from Wigan,” insisted Whelan. “He is here for three years. If we go down in that time Roberto will go down with us.
“I believe in this lad totally. I am going to stay with him. When Steve Bruce left for Sunderland, there was only one man who came to mind and that was Roberto.
“I have worked with him and know how dedicated he is to football.
“I brought him here in 1995 and he revolutionised Wigan. He excited our supporters as he was so skilful.
“What he has done since has been fantastic. He has his own ideas and I like his ideas.”