The Black Cats have struggled for goals this season and are currently sitting in 16th place in the Premier League table. O'Neill believes that he cannot afford to lose players and revealed that he prevented striker Connor Wickham from joining Sheffield Wednesday.
O'Neill said: "Sheffield Wednesday made an approach for him.
"I was asked by our chief executive if I'd be prepared to let a deal go through and I said that we couldn't afford to let anyone go."
Wickham has scored just one goal in 19 appearances for Sunderland since he joined the club from Ipswich Town in 2011.