The Argentine striker has endured a difficult stay with the Latics since arriving in a deal believed to be worth in excess of £6million in 2010 and is still waiting for his first Premier League goal.
The 27-year-old has been loaned out to Genoa and Estudiantes in that time and is now to return to Italy with Serie A side Palermo.
Martinez revealed that the deal had been finalised in his post-match press conference following Wigan's 1-0 win at Macclesfield in the fourth round of the FA Cup on Saturday.
"We agreed a loan deal with Palermo and Mauro will go back to Italy where he had a spell with Genoa until the end of the season," said the Spaniard.
"That was done this morning and that is the reason why he wasn't in the squad."