Di Canio was sacked on Sunday following a poor start to the season that saw the club take only one point from five Premier League games - and only hours after a training ground inquest into Saturday's 3-0 defeat at West Brom.
Kevin Ball has been appointed caretaker manager but Zola has been linked along with former Chelsea manager Roberto Di Matteo, Gus Poyet, Tony Pulis and Alex McLeish.
Zola is happy to be mentioned as a contender, but he is also focused on his job at Watford.
The Italian told Sky Sports News: "Of course I am flattered that I have been considered but I am really happy over here and like what I am doing.
"I think my growth as a manager has been massive and so I want to fulfil this task that I will be here."
Di Canio was axed after some senior Sunderland players complained to the club about him, Sky sources understand.
In the fallout from that meeting, some of the club's senior men went above Di Canio's head to express their concerns about his management style.
In his six months on Wearside Di Canio increased the workload in training and was at times publicly critical of his players but - this season, at least - his methods have not paid off.
Ball - a player on Wearside for almost all of the 1990s - will reprise a role he previously held for 10 games following Mick McCarthy's 2006 departure.
He said: "The situation last time was slightly different to this time, but it did give you an experience, whether it be for one or 10 games.
"I enjoyed it last time and I hope I feel the same way about this one as well. It allows you to say, 'Well, I have done it before, it's not something that's unexpected'.
"I have coached for 10 years, so within that, you do so many things that a manager would do anyhow, it's not a fantastically, unbelievable step."