It is generally believed that an up/step-quenching treatment can suppress the deterioration of shape memory effect (SME) due to the martensitic stabilization. However, recent studies have indicated that the SME in an up-quenched ductile CuAlMn alloy dropped drastically as lowering the recovery heating rate. To understand whether the above strong heating rate-dependent deterioration in the SME can be ascribed to the martensitic stabilization, we carefully investigated the microstructural differences in an up-quenched Cu-17.0Al-10.5Mn (at.%) alloy after deformation and then heating at different rates. The effect of up-quenching time on the SME deterioration induced by lower heating rates was also studied. The results showed that the martensitic stabilization is responsible for strong heating rate-dependent deterioration in the SME in the up-quenched CuAlMn alloy, and whether a certain up-quenching treatment can suppress its occurrence is strongly dependent on the recovery heating rate. Available data clearly showed that this dependence also exists in other up/step-quenched Cu-based alloys. The migration, cluster and even collapse of thermodynamically non-equilibrium quenched-in vacancies at the martensite interfaces result in this dependence. The martensite interfaces pinned by the collapsed vacancies cannot be de-pinned through thermal activation.