The 61-year-old Ulsterman was sacked by the Black Cats last Saturday evening following their 1-0 defeat by Manchester United, a result that leaves them a point above the relegation zone.
Sunderland had gone eight games without a win in the Premier League prior to the sacking of O'Neill, who has been replaced by Paolo Di Canio.
And O'Neill feels the decision was harsh given that the former Aston Villa and Celtic boss had inspired a team languishing in 16th place when he took over in December 2011 by guiding them to a 13th-placed finish.
"I am still pretty disappointed, frustrated as much as anything else but life goes on," O'Neill told BBC Radio 5 live.
"I'm in the business now where I think very little shocks you about professional football especially in the last 10 years. You can lose a job in management if your tie doesn't fit your suit.
"With the experience I have had over the years... also coming into the football club at a time when the club was pretty well on its knees.
"I believed I saved it from relegation last year and I thought that opportunity should still have been afforded to me."
Di Canio's first game in charge of Sunderland is away at Chelsea on Sunday.