Ravel Morrison has returned to parent club West Ham from Cardiff City on compassionate leave.
It emerged earlier this summer that the Black Cats might be prepared to listen to offers for the 29-year-old Benin international, who only signed a new contract in August last year.
However, despite speculation linking him with a series of clubs, no formal offers have materialised and Sessegnon insists his future lies on Wearside.
He told the Sunderland Echo: "The speculation is okay, I have no problem with that. But I'm happy at Sunderland.
"We have worked well in pre-season and hopefully we can continue like this. I'm enjoying it at Sunderland and my mind is for Sunderland now."
Sessegnon initially arrived at the Stadium of Light in a £6million switch from Paris St Germain in January 2011 and at his best, looks every inch the player in which then manager Steve Bruce invested so heavily.
However, inconsistency has been a problem and rumours that he could leave the club last summer did little to improve the situation.
But Di Canio's recent shopping spree and a gruelling pre-season have left Sessegnon in optimistic mood ahead of the new campaign.
He said: "It's a very important time, you need to have a pre-season. You need to do the hard work to start the season well.
"I think that affected me during the first few months of last season, but this year is different because we have had a good pre-season with a lot of good players coming.
"That's made everyone work hard in training and we have got a strong mentality too among the players. It looks good already for the start of the season."