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.
To compound matters for Di Canio, the Baggies' opening goal was scored by Stephane Sessegnon, the player he sold to the midlands club earlier this month amid some acrimony.
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.
The Italian feels that after a summer of hectic transfer activity he needs time for his influence to take effect.
He said: "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."
Sunderland were composed but were unable to force themselves back into the game after Sessegnon pounced on a rebound in the 20th minute.
One of their best chances to equalise fell to Steven Fletcher but he volleyed over and, in another twist of fate, landed awkwardly and had to leave the field.
With all substitutes used, Sunderland had to play on with 10 men and were further punished by Liam Ridgewell and Morgan Amalfitano.
Di Canio said of his gestures to fans at full time: "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."
Di Canio claimed not to be bothered that Sessegnon had marked his Baggies debut with a goal against his former club.
He said: "A West Bromwich Albion footballer scored. What is the problem? It could have been another, but it was him."
The further frustration for Di Canio, with tough games against Liverpool and Manchester United ahead, is that striker Fletcher could be missing with the shoulder injury that forced him off.
He said: "We have sent him to hospital. He came back very good from his ankle injury and quickly, and now he may have to stay out for more than two weeks.
"It was painful. The shoulder was still out and they couldn't touch it. It is very bad at the moment, everything is negative."
While the problems continue for Di Canio, opposite number Steve Clarke was pleased to register a first victory of the season for Albion.
The Scot said: "It was not quite perfect but obviously a good afternoon for us. It was a game we felt we should win.
"Once we got our noses in front we had a good control of the game and circumstances went for us as well - at 1-0, before the nervous last 15 minutes, they lost Steven Fletcher. That helps.
"Immediately we made it 2-0. All in all, a good afternoon."
Clarke was also pleased with the immediate impact made by Sessegnon, who refused to celebrate his goal.
He said: "He did what we brought him here to do. He is clever on the ball, he is bright, he is an entertainer.
"He has got some goals in him as well, so a pleasing debut for him.
"I think he showed respect to Sunderland. The fans liked him and loved him as a player.
"He is quite an engaging character and he chose not to celebrate. That's fine. If he wants us to celebrate more than him I'm happy with that."