Sessegnon has been linked with a move away from the Stadium of Light after enjoying a tremendous finish to last season, but so far it is understood that the Black Cats have not received a serious enquiry.
O'Neill would be delighted for that situation to remain the same until the transfer window closes at the end of the month, but recognises that there is always the chance that an offer will offer come in that is too good to turn down.
"We would very much like to keep Stephane - any manager would want to keep him," O'Neill said in The Journal.
"He gives us that extra creativity and he is very important to us so I would genuinely like to keep him.
"I would love to give a 'hands-off' message but I wish it was as easy as that.
"If I was to say 'You cannot touch him' then I might have to come back here two days later and say 'sorry'.
"That would be all bravado speak and then he's gone, so I couldn't give that sort of message.
"However, I definitely want to keep him at this football club.
"I echo the sentiments of all of us, including the supporters on that front."
O'Neill says Sessegnon is now feeling much more settled at Sunderland, having initially struggled to adjust to English life following his move from Paris Saint-Germain 18 months ago.
"He texts in perfect English now! He understands. There is an element of that (whether his family are happy) but there's only so much you can do," said O'Neill.
"If some families can't settle in areas or countries then you have to take it into consideration.
"That was an issue and I just hope that issue disappears again this year - I don't want that to rear its head again."
