The Italian walked away from the County Ground on February 18 after a dispute with the board.
Despite a new consortium since taking over the club, Di Canio insists that he will not be going back.
"My chapter at Swindon is finished in terms of being the manager at Swindon football club," he told Sky Sports News.
"I didn't see a very strong desire to keep Paolo Di Canio at this club so for that reason I decided to leave the club.
"I am a straight man and I handled a situation this year that was absolutely incredible, I don't have any regrets."
Di Canio got Swindon promoted last season in what was his first campaign in charge of the side.