Sisto, 21, has been strongly linked with a number of European clubs since making his Midtjylland debut in 2013.
Speculation surrounding the Denmark international is expected to grow in the coming months, meanwhile, after he scored in his team's 2-1 win over Manchester United in the Europa League on Thursday night.
Bilic has confirmed that West Ham made an approach for the pacey attacker last summer, but Sisto's representatives urged him to spend another season in Denmark.
"He's young, he's 21 so we wanted to get him for the future," Bilic told ITV. "We watched him against Southampton and in a few other games. He's got pace, he's brave, he's young and he changes direction well.
"He's a great prospect. We wanted him, but we must give credit to him and the people around him - they decided that it'd be better to stay in Denmark for another year."
Sisto scored his team's equaliser in the first leg of their last-32 clash with Man United on Thursday, before Paul Onuachu grabbed a surprise winner in the 77th minute. The second leg will take place at Old Trafford next Thursday.