The visiting Black Cats created numerous chances after the restart but were unable to breach Petr Cech's net at Stamford Bridge.
Despite the defeat, O'Neill has described his team's performance as "excellent".
"It was a fantastic second half," he told BBC Sport. "We created clear-cut chances and we are wondering how we managed not to come away with something.
"We had enough chances to have won three points. The performance was excellent."
The loss is O'Neill's second as manager of Sunderland.