An injury-time goal from John Terry snatched a 1-0 victory for the Blues, as he got a slight touch to Frank Lampard's free-kick and the ball deflected in off goalkeeper Tim Howard.
Martinez questioned after the match whether the free-kick which led to the goal should have been awarded, but did acknowledge that it had been a difficult afternoon for referee Lee Probert.
However, while he was able to take great pride in Everton's performance after a competitive clash, Martinez could not hide his disappointment at ending on the losing side.
"It's still a great performance, don't take anything away from what we did. I think in the first half we were, by a mile, the most threatening team," said the Spaniard.
"In the second half, as you'd expect, a little bit of momentum from Chelsea, but this is one of those situations that the players are trying to buy too many free-kicks and you need a strong referee to see what's clearly a free-kick or not.
"I think it's a very unfair result for us not to get anything out of this game after that performance that we've had."
Assessing the free-kick conceded by Phil Jagielka for his challenge on Ramires that led to the decisive goal, Martinez said: "(In the) second half straight away it becomes a very, very tough game for the referee, every action it seems they are trying to get an advantage from a dead-ball situation, they couldn't get any joy from open play.
"Ramires and 'Jags' go into a situation where it's one v one, one stands his ground and you see the reaction, the way he loses his foot on the ground, it's clearly not because of contact, it's just trying to look for that free-kick.
"It's a shame because until that point we had to defend really well. Overall I couldn't be prouder."