The Black Cats are at Arsenal for today's Premier League kickoff.
"It's a major loss to them, I'm not just talking about this weekend but in terms of the whole season. He's one of the top five strikers in world football, maybe even less than that, after Messi and Ronaldo," said O'Neill.
"They've obviously tried to pre-empt that knowing his position by getting other players in and even if he had stayed, I think Arsenal would have strengthened anyway.
"He's a loss to them because of the number of goals but also his whole contribution to the team as captain. Arsenal have survived losing major players in the past, Thierry Henry for example, but they've got players in to replace them. It'll be a disappointment to lose van Persie.
"I remember some weeks ago Sir Alex Ferguson coming out and saying he wanted van Persie and they don't usually announce that unless there's a really good chance of it happening."