"It's a shame but you can understand Keane's decision.
"We just want to thank Stephen for his effort and commitment, he's a smashing lad and we'll miss him."
Wright admitted he enjoyed his spell at the Britannia Stadium, although he is relishing the chance to break back into the Sunderland side.
"It's been good, I've enjoyed my time here but Roy spoke to me and he said he wants me to go back.
"I think they've got Wigan next in the Cup so I could be involved for that one."