The former Swindon Town boss, who has been under scrutiny over his alleged fascist views, has admitted that he expected some fans to express their discontent at his appointment.
Despite the controversy surrounding him, the majority of away fans at Stamford Bridge during Sunderland's 2-1 defeat last weekend were in full voice.
"Can I tell you that, and it is difficult sometimes for me to express how I feel, can I tell you that it was a very emotional moment for me?" Di Canio told the Sunderland Echo.
"It was a very emotional moment for me. I did not follow too many articles in the papers last week, but I tried to make sure that I knew what was going and what was being said.
"And I understood that it might be that the fans were split over me and that made me very sad. But when I heard them singing my name before the game at Stamford Bridge, and especially afterwards when they were singing it again, I cannot tell you how much that meant to me."
Di Canio's second fixture in charge is a trip to Newcastle for the Tyne-Wear derby on Sunday.