Belgium drew goalless with Croatia in their final group game on Thursday, thereby finishing third behind Morocco and Zlatco Dalic's men.
It has been a momentous fall from grace to grass for Belgium, who finished third in Russia four years ago.
Martinez took over Belgium's golden generation in 2016 but that adventure in Russia was the closest they came to winning a trophy.
"That was my last game for the national team and it was emotional. I can't carry on, sorry," a visibly moved Martinez said at his post-match press conference.
"This was the end, whether we won or went out in the group. It has nothing to do with being eliminated at this stage.
"I'm someone who likes to build things. For six years, I've been here with the objective to reach the World Cup and win it. We won the bronze medal in 2018 and gave it another go. It's been a real joy.
"We've built a legacy. I know people will see it a different way, but I'm so proud. Looking at the dressing room now, we have youngsters who can now be starters.
"It's been six amazing years that we've been able to do everything you want to do with a club at a national team.
"I've loved the way this team has played and given everyone incredible joy. The fans in Belgium have appreciated this. It's now time for me to accept this is the last game.
"I've always wanted to be loyal and finish the job. I'm not resigning, it's the end of my contract. This was always the plan."
