Di Canio, 44, said: "He called me two Christmas Days. I thought it was my friend so I said 'f*** off'.
"He said 'Paolo, this is Alex'. I said 'Alex who? Is this you, you motherf*****?'.
"I didn't understand the first few words so I thought it was my friend from Italy messing about.
"Maybe he was mad or drunk that night.
"I told him we can't negotiate because of my loyalty to West Ham.
"But one of my regrets will be that my enemy in the dugout will not be The Football God."