Rcenet speculation has linked Sessegnon with a move away from the Stadium of Light but O'Neill has revealed his desire to retain the Benin international's services.
The former Aston Villa manager told The Journal: "Sess has been playing brilliantly.
"I have read he's unhappy the whole time, but he couldn't be happier, believe it or not. I don't think he can play like that if he's unhappy.
"He's in great form and I'm sure I won't stop the speculation no matter what I try. We want to keep him at the football club because he's been pretty brilliant."
Sessegnon arrived at Sunderland last year from French club Paris Saint-Germain.