He left the club bottom of the Premier League with one point from five matches, having only won three of 13 games since replacing Martin O'Neill in March.
Media reports spoke of a player revolt at his abrasive management style and his public criticism of them, with issues allegedly coming to a head in a training-ground bust-up.
British newspapers said players, led by former captain Lee Cattermole, went to club owner Ellis Short to demand Di Canio's dismissal after an angry showdown with the controversial manager, after which he was sacked by telephone.
"There has been a lot written in the media in recent days, much of it wholly untrue," the 45-year-old said in a statement.
"There was no training ground bust-up as some are reporting and many of the players have since sent me messages thanking me for my time as their manager and helping them to improve as footballers.
"We could see that results had not gone as well as any of us had hoped, but I felt as a team we could turn things around."
He also pointed to the fact the club had brought in 14 new players, many of them from outside the Premier League, as well as his efforts in saving the club from relegation last season.
"As I have said many times, I love English football and I feel that my time at the club has been unfairly cut short as given the chance, I am certain that had I been allowed longer, I would have been able to develop the team to achieve the success Sunderland fans desire."
Di Canio, who started his playing career in Serie A before spending seven seasons in the Premier League with Sheffield Wednesday, West Ham United and Charlton Athletic, said that he wanted to manage in England again.
Sunderland remain bottom of the table having lost their one league match since Di Canio's dismissal to Liverpool under caretaker manager Kevin Ball.