The Italian was prompted by reporters in his first news conference as Black Cats boss over his reported previous political comments, which caused ex-foreign secretary David Miliband to resign from the club's board.
"I don't have to answer any more this question," BBC Sport quotes Di Canio as saying. "There was a very good statement from the club, [with] very, very clear words that came out from me.
"I don't want to talk any more about politics for one reason because I'm not in the House of Parliament. I'm not a political person, I will talk about only football."
Meanwhile, Di Canio has claimed that he would "bet everything" on Sunderland staying in the top flight.