The Latics face Millwall in the Cup semi-final at Wembley on Saturday - but Whelan is more concerned by the fact the club remain in the drop zone with seven games to play.
"Staying up is more important than winning the semi-final," Whelan told the Evening Standard.
"No question about that. I have promised the players a holiday in Barbados not for winning the FA Cup but for staying up."
Whelan famously broke his leg playing for Blackburn in the 1960 FA Cup final against Wolves - and will be leading the team out on to the Wembley pitch at the weekend.
"You wouldn't imagine a change like that could happen. When I was growing up and playing, winning the FA Cup was something absolutely unbelievable.
"It (the decline) has happened. You get so much money out of the Premier League, it's just phenomenal. And what these clubs are going to get next season is unbelievable. It makes this season's relegation battle all the more desperate."