West Bromwich Albion spent a club record fee to sign Sessegnon on transfer deadline day after Di Canio had previously stated the Benin international was not for sale.
However, Di Canio was not satisfied with Sessegnon's performances in the opening game of the season and he decided it was the right time to part ways.
"Always know this - that purely as a player, I wanted to keep him," Di Canio told the Sunderland Echo. "But he did not make me enjoy the first three games in the league this season - he was a surprising negative in our performances.
"And then I said, OK, I think after three years, if a player is not showing the desire, if he is not home-grown or does not belong to this club, it is easy for a big player to lose his desire.
"He becomes so that he struggles to give more than 60 per cent in anything - on or off the pitch. So when they told me there was this chance for him to move, I decided we should take it. Best of luck to him."
Sessegnon's arrest on suspicion of drink-driving on the same night Sunderland were playing MK Dons in the Capital One Cup last month also helped to make up Di Canio's mind.
The Italian added: "I tried to keep him but then I saw how he was in our games and I was not impressed with his desire, or his attitude.
"And then in our cup game - a crucial game for us, a game to give confidence to everybody - he was 20 miles away from the Stadium of Light and not with family
"That was the final situation which gave me the chance to decide that I couldn't insist on him staying, because as a manager I have to be more intelligent."