The transformation plateau on the strain-stress curve is the characteristic of superelasticity of bulk shape memory alloys upon tension/compression loading. However, recent studies show that such transformation plateau is hard to see when the sample size of shape memory alloys decreases to submicrons. In order to see what happened in such small scale samples during loading, in-situ compression test has been done with single crystal Cu-14.2Al-4.0Ni (wt %) submicron pillars. Our in-situ observation during compression demonstrates that the stress-induced martensitic transformation indeed occurs in submicron pillars, but is not suppressed. Furthermore, the transformation proceeds in a sequential nucleation-growth-nucleation dominated mode, but not the transient way like that in bulk materials. As a result, the stress keeps increasing throughout the transformation and no obvious transformation plateau can be detected. However, the underlying reason for such contrast transformation behaviors between our submicron pillars and bulk materials still needs further investigation.