The 32-year-old centre-back says the Italian manager rang him to apologise for comments he made to the media in the wake of his red card against Crystal Palace
The Republic of Ireland international conceded a penalty and was shown a red card in the 3-1 loss at Crystal Palace last month, with his boss describing his actions as "terrible".
|9/4||Sunderland are 9/4 with bet365 to be relegated
"He rang me the next day and all is nice," said O'Shea. "Getting criticised is one of those things and that is his style of management.
"What he had to say to me is private but let me put it to you this way, it was him calling me.
"The criticism does not bother me in the slightest. It is water off a duck's back to someone like me.
"Because he is such a passionate man, everything he does is getting hyped up.
"The only thing I am annoyed about is the fact that I let the team down."
Sunderland have taken just one point from their opening three Premier League games and sit 19th in the table.