The Spaniard led Wigan to a famous Wembley triumph 12 months ago when the Latics stunned Manchester City in the FA Cup final.
This time around that tag will most certainly be given to Hull City as they look to deny Arsenal their first trophy in nine years.
Martinez said: "The reality in a final is if you could choose, you would want to be underdogs. I think the secret is to embrace that tag.
"It's a day for everyone at Hull City to enjoy because it's a real achievement to get to the final.
"The reality is the pressure is on Arsenal and you can't really beat being in that position.
"Hull found it difficult in their semi-final because they were favourites to beat Sheffield United but you can see them going to the final as the opposite and I expect Hull to perform well because of the flexibility the team has.
"Steve Bruce, over the last two years, has given the team real tactical know-how, and if they can control the occasion Hull City have a fantastic opportunity."