Well I remember in an interview where they were at a ceremony with their Muppets, and some photographer trying to get pictures kept calling out at Telly, "Purple Elmo! Purple Elmo! Over here, Purple Elmo!" So he had Telly have a meltdown, "Oh, I'm the 'Purple Elmo'? Okay, well, don't forget Oscar over here, he's the 'Green Elmo,' and then here's Cookie Monster, he's the 'Blue Elmo'!"
But really, Marty seems to be really devoted to his family life, between doing SST regularly as well as training new puppeteers, perhaps he'd rather not have anything else cut into more of his family time than he wants to.