Di Canio was serenaded during this week's draw between West Ham and Manchester United.
He said: "Yeah I was aware. How could you be upset? I am happy because it happened when I wasn't in England the last few years because there was always this link.
"We don't have to put it to one side. It is fantastic, it is not because I am a manager who will go in the future and be manager at West Ham, because there is a video where I have this cup against Manchester United in 2009 when I had been and watching the match.
"They are in my heart because of what I received from them after I push the referee at Sheffield Wednesday.
"That was amazing and then I have four-and-a-half years and I became skipper there, and also I refused to move to Manchester United, you the know story, everybody knows it.
"That means the relationship is special and it is never going to be broken even if some stupid comment came out in a wrong time, this is the future, not now, we will clarify in the future.
"I want to think about Sunderland now but we are never going to split, the people are never going to split the relationship with them because it is too pure and it is genuine, it is clear, I was happy but unfortunately for them I am Sunderland manager."