The Benin international has been linked with a move away from Wearside but the Black Cats are yet to receive a serious enquiry.
The 28-year-old former Paris Saint-Germain midfielder played an integral part in Sunderland's resurgence under O'Neill, scoring six goals and helping the club to a 13th place finish in the Premier League, and his manager wants him to stay with the club.
"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 revealed that Sessegnon has settled in to life at Sunderland and even sends text messages in perfect English.
"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."