The 33-year-old striker returned to the County Ground after his loan spell at Portsmouth ended but despite the Robins arranging a deal, the former Charlton forward seems in no rush to depart.
"We know with Benson we had an opportunity and it is incredible that he didn't accept it," the Italian told the Swindon Advertiser.
"He is free to decide what he wants but it's strange because it's close to here.
"We can't be selfish people. Even if he wants to play at Portsmouth, they don't have any (money). We pay money for him.
"We will work and see if he can go to a team who want to win the league."
While their have been suitors for Benson, Di Canio is surprised how little interest there has been in Luke Rooney and Lee Cox.
"It's strange because Cox did well at Oxford," he said. "Rooney didn't have very good success with Rotherham but he is a talented player, we have to defend our value. Even if we have to think the priority is the club, he is our value.
"I can't imagine he won't have the opportunity to play regular football in League Two but if nobody wants them they will be a part of the squad."