Romelu Lukaku wasted a host of good chances as the Red Devils failed to find a way through the Croatian backline in a match where they needed three points to progress.
The defeat appeared to mark the end of Belgium’s golden generation of talent which arguably went unfulfilled, reaching the 2018 World Cup semi-finals but failing to win any major trophies.
There has been talk of infighting within Belgium’s squad throughout this tournament, with the side bowing out with only one goal scored and four points from three games.
Former Everton boss Martinez, who has been in charge of Belgium since 2016, opted to step down immediately after the game.
“That was my last game with the national team and its emotional as you can imagine,” Martinez told reporters.
“It was going to be the end whether we were world champions or out in the group stage. It has nothing to do with being eliminated at this stage. This is the time for me to accept that this day is the last game.
“I took the decision just before the World Cup. I always work in the long term. I believe the long-term projects need to be long term and they need to be set in advance. As you can imagine, since 2018 I have had many opportunities to leave and take jobs at club level.
“I always wanted to be loyal, I always wanted to finish the job and now I don’t resign, this is the end of my contract. This was always the plan.”
Martinez said Belgium’s exit was down to “small margins”, while he lamented their inability to take their chances against Croatia.
“We had very good performances and frustrated Croatia in the first half, but couldn’t take chances in the second half,” he said.
“We got in very good positions, but didn’t execute them well. Second half, we looked strong and probably created more clear-cut chances than in 2018.
“We showed heart, and we saw a group that really cares, which we missed in previous two games - we weren’t ourselves (in the first two games).”