The Benin international instead moved to Paris Saint-Germain, but could have lined up for the Magpies who he is set to face on Sunday when the two sides clash at the Stadium of Light.
"I had lots of opportunities," he told The Independent.
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"Yes, Newcastle were interested but it was really important for me to play in Paris. I had supported them since I was little. It was a chance to show myself. I had great years there."
Sessegnon transferred to Sunderland in 2011 and puts the success of his move down to the effort of everyone involved at the club to make him feel wanted.
"It was the tirelessness and willingness of the people at Sunderland to get me that played a big part in my decision to come here," he added.
"It is true I had a couple of difficult months when I first arrived but I was getting used to my environment."
His comments come ahead of the season's first Tyne-Wear derby - a fixture that Sessegnon does not remember with fondness following his sending off when the sides met last season.
He said: "We all know the importance of the game between Newcastle and Sunderland [on Sunday] and the challenge they represent and the pressure which comes for those games, but it is a pleasure to experience it, that is what you play the game for.
"I have a bad memory of the last time we met [he was sent off when his arm struck Cheikh Tiote]. I would like to put things right."