The 27-year-old has recently been linked with a return to French football.
“A winter departure? Even though results have been difficult, I still have something to prove at Sunderland,” Sessegnon told France Football.
“There is a challenge here that I have to seize. I prefer not to start planning for the future.
“I know nothing about the rumours linking me with Marseille.”
Sessegnon admits he could have left the Black Cats last summer.
“There was contact from Chelsea and Everton and we almost reached the negotiation stage,” he said.
“But I prefer not to live in the past.
“If I had signed for Chelsea maybe things would have been different, but another opportunity always comes along.
“It has been difficult at Sunderland and I have asked some questions. The club were playing well, then results changed when I arrived.
“I think everyone is asking questions, though, and I believe I will be a better player for having experienced this time.”
