Saitama is so fast that anything slower than the speed of light is perceives as slow by his senses (Murata said "sublight speed is a joke to Saitama"), his punches destroy anything they hit, no exceptions, and his body is impervious to damage... what would he gain from a martial art?
He doesn't need to block or parry because he can dodge or tank everything, nothing can move fast enough to escape his attacks when he is being serious, and his attacks destroy everything...
For Saitama, learning a martial art would be like attaching a bayonet to the barrel of a Schwerer Gustav cannon...