With two games remaining the Black Cats have yet to secure their Premier League status, but that has not stopped speculation.
The club have also parted company with chief scout Bryan 'Pop' Robson ahead of installing someone to work with Di Canio.
Lazio defender Modibo Diakite, Maritimo stopper Valentin Roberge and Barcelona's Sergi Gomez are amongst the names to have been linked with the Wearside outfit in recent weeks.
But Di Canio insisted: "I haven't thought about transfers yet - absolutely nothing.
"Everything can change at the moment, you can feel safe and then - boom - you can be hit like a hammer.
"So we have to make sure that we are safe first - I can't think about transfers until then."