But even though the task facing his fellow Spaniard is to win trophies and the Latics boss has to keep his side in the Premier League he is not keen on changing places.
The two clubs could not be more different in their approaches: Blues' Russian owner Roman Abramovich fires managers at will while Wigan's home-grown chairman Dave Whelan prefers to back his to the hilt - not necessarily with money but certainly confidence.
Wigan have not won in the league since December 29, leaving them 18th in the table, while Benitez - unwanted by Chelsea fans even before he arrived in November - is under increasing scrutiny after losing to Swansea in the Capital One Cup semi-final, being held by League One Brentford in the FA Cup and late league capitulations against Reading and Newcastle.
"Believe me, being a manager of a club comes with pressure. It is pressure you put on yourself," said Martinez.
"We haven't won in a long time and for us to 'win the league' is to stay in the division.
"When you are involved in this game you understand that is part of your job and you accept it.
"When you are in a top team you are expected to win titles and protect your crown in terms of winning the Champions League, that is normal.
"You need to win every weekend and when you don't do that as a player you get assessed and everyone in the football club is questioned.
"Every club has that need of points at this stage of the season and we are no different with our aims and expectations.
"If you meet a manager who does not have the pressure to get a good result he will not last long."
On Benitez's situation at Stamford Bridge Martinez added: "It is impossible for me to comment how other clubs work because I don't know what the strategy is and what they want to achieve in the short term and the long term.
"Top and bottom is the relationship between the owner and the manager needs to be close and you need to work for each other and for the club.
"At Wigan we got it clear from the beginning that we always make decisions for the short term, the long term and the very long term and that is the way it should be.
"You have to have the support from your owner in how to establish your philosophy: it is not just a short-term situation where you want to win a few games and then just move on.
"I don't enjoy that sort of challenge, I enjoy building the football club and making decisions which will benefit the club for the next 40 years.
"It is the only way you can get satisfaction: developing a good philosophy, a good way of playing that will give you the opportunity to win games on a consistent basis.
"To do that you need to have a strong support from the owner and the board and I've always had that here."
Despite Chelsea's wobbles against Reading and Newcastle, which has seen them earn just a point, Martinez does not believe now represents a particularly easier time to play them.
The Latics have lost five of their six Premier League visits to Stamford Bridge and have beaten Chelsea only once - at home in 2008 - in 15 league meetings.
"We are at that stage of the season where we can't afford to look who we are playing against," the Wigan boss said.
"We know when you go away from home in this league you need to be very good, when you go to the top-four teams you need to be perfect.
"We need to build on the two points we got against Stoke and Southampton."