The Benin midfielder has been attracting attention this summer after last season's brilliant performances for the Black Cats and O'Neill is well aware that he could be tempted by a big money offer.
But the Sunderland boss is keen to retain Sessegnon as he produces so much for the Wearside 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."