The Black Cats remain fixed to the bottom of the Barclays Premier League without a win after slumping to a 3-0 loss at West Brom.
Di Canio approached frustrated Sunderland supporters at the end of the game and gestured that they should keep their chins up.
He received a mixed reaction but appeared determined to show he could withstand any abuse.
Paolo Di Canio: "The team, not intentionally, have not gelled together yet but that is normal.
"It is a natural process and it is difficult. We have made many changes, we have 14 new players from many countries.
"It is obvious one day if we keep going lose, lose, lose there will be a natural consequences, not only for Paolo di Canio.
"I don't think they will want to keep Paolo di Canio, they will probably want to change. But I don't think that now.
"Even if you see you are 10th in the table in this league someone can sack you because maybe they expect more.
"It is our job but I am not worried about that. I am worried about the result because obviously we want to deliver different results. I know it's difficult.
"We are a group, when we win - and we didn't win yet in the league - and when we lose.
"I am the person responsible. They have to receive all the energy, and this time it was negative, but they stick with us and they are absolutely right.
"We did very bad. Sometimes you can help the people to push out the anger. Maybe they can feel better.
"I wanted to show them that I am never going to give up. I believe in what I'm doing, even if in this moment it is difficult for everybody to believe."