Belgium striker Lukaku recently ditched Christophe Henrotay in order to link up with Raiola, who also represents the likes of Zlatan Ibrahimovic, Paul Pogba and Mario Balotelli.
Raiola has already talked up Lukaku - who agreed to a five-year-contract with Everton last July - as a potential signing for Serie A leaders Juventus.
But, speaking about the club's record-signing, Martinez said: "He has changed his agent but we are not concerned. He is entitled to do that.
"Everyone speaks about the colourful character that Mino Raiola is but he has a lot of players who are happy to stay at one club.
"I dealt with Mino Raiola at Wigan and not many people know that he had Danny de Ridder or Vladimir Weiss, players who have been happy to stay at a club. I don't think there is anything to read into that.
"It has been a very interesting season from Rom's point of view. At the age of 21 he had to cope with coming back from a World Cup and it affected his physical level until January.
"Since January he has been very consistent and he probably hasn't been given the credit his performances deserve. He has been performing really well."
