Few-shot open-set recognition (FSOSR) has become a great challenge, which requires classifying known classes and rejecting the unknown ones with only limited samples. Existing FSOSR methods mainly construct an ambiguous distribution of known classes from scarce known samples without considering the latent distribution information of unknowns, which degrades the performance of open-set recognition. To address this issue, we propose a novel loss function called multi-relation margin (MRM) loss that can plug in few-shot methods to boost the performance of FSOSR. MRM enlarges the margin between different classes by extracting the multi-relationship of paired samples to dynamically refine the decision boundary for known classes and implicitly delineate the distribution of unknowns. Specifically, MRM separates the classes by enforcing a margin while concentrating samples of the same class on a hypersphere with a learnable radius. In order to better capture the distribution information of each class, MRM extracts the similarity and correlations among paired samples, ameliorating the optimization of the margin and radius. Experiments on public benchmarks reveal that methods with MRM loss can improve the unknown detection of AUROC by a significant margin while correctly classifying the known classes.