The Uruguayan lost his first game in charge of the Black Cats as they went down 4-0 at Swansea City in the Premier League on Saturday.
"We analyse all of the problems, technical, physical and tactical, but of course there is a problem we need to address and the most important is the mental side," he told Sky Sports News.
"Nowadays, in football or in any sport, you need to be strong mentally, this is not about one person, this is about everybody at the club, especially the 11 out there on the pitch. So maybe there is more work to do mentally than the rest."
Sunderland are currently at the foot of the table with one point from eight matches.