It has not taken long for speculation to be sparked, with former Seagulls boss Gustavo Poyet having been appointed the new man in charge at the Stadium of Light on 8th October.
It is already being suggested that the Uruguayan may be tempted to return to his former stomping ground at Brighton in the pursuit of new recruits.
Ulloa would be an obvious target, with the Argentine striker having impressed since arriving in England from Almeria in January.
A step up into the Premier League would offer another fresh challenge to a man who has been a regular source of goals in the Championship, but the 27-year-old forward says he is paying little attention to transfer gossip.
Ulloa told The Argus: "I've already said if Gustavo is at Sunderland or any other club, it's a fact that I'm here. I'm fine, I'm happy here, my family are happy in the city.
"Nothing has changed this week since last week, when Gustavo wasn't head coach at Sunderland."
For the time being, Ulloa is focused on his rehabilitation from a fractured metatarsal, with a first team return still some way off.
He added: "I'm good. I've got my timetable to stick to.
"They are talking about six, seven or eight weeks before returning to proper training. I think then I'll still need some time to get ready to play matches because after seven or eight weeks without doing much exercise, I'll not be at my best. But I'm doing all I can not to lose too much of my conditioning.
"In terms of returning to the Championship, I'm not setting a date. What I want to do is let the injury heal well rather than get back quickly."