Recent reports have linked the versatile Benin international with a move to Qatari side El Jaish, but he was in the Sunderland side that lost at home to Fulham on Saturday.
And the Black Cats boss is adamant that Sessegnon will not be sold and remains a key part of the squad.
"I have to be clear, I do not want to sell Sessegnon," the Italian told The Sun.
"If anyone wants him, they would have to bring me a quality striker and a central midfield player.
"Otherwise, for me, he is not for sale."