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.