Ulloa, signed by former Albion boss Poyet in January, has predictably been linked with a move to the north east following the Uruguayan's appointment at the Stadium of Light.
But the Argentinian, who has scored four goals this term, insists he is going nowhere.
"I've already said if Gustavo is at Sunderland or any other club, it's a fact that I'm here," he told the Argus.
"I'm fine, I'm happy here, my family are happy in the city.
"Nothing has changed this week since last week, when Gustavo wasn't head coach at Sunderland."
- Sports & Recreation