The Black Cats have taken just one point from their opening three Barclays Premier League games and only briefly looked capable of leaving Selhurst Park with a positive result.
Danny Gabbidon's deflection gave Palace an early lead before Steven Fletcher came off the bench to equalise on his first appearance for five months.
But the hosts hit back through a Dwight Gayle penalty, with Sunderland skipper John O'Shea sent off for bringing down Jason Puncheon, and a superb injury-time goal from Stuart O'Keefe.
Di Canio said after the game that his team had gifted Palace the opening two goals, yet he had refused to blow his top at this players.
"Today it was difficult to be angry," he said. "Normally I can tell you I'm very angry, but today it was difficult - it was too poor that it was really difficult to say something.
"I don't think that even the most arrogant player in the world could argue if you said the first two goals were absolute rubbish.
"My leader [O'Shea] was already in the dressing room and said sorry to everybody - how can you be angry?
"They are intelligent and understand when they do something bad. I couldn't be angry but obviously I was really sad."
The Italian felt his side were in the game after Fletcher had headed the visitors level just after the hour, and reasoned the penalty and resulting red card turned the game in Palace's favour.
"We were on top after we drew level," Di Canio added.
"The second goal was very poor. It came from nothing. My leader let the ball get away behind him and then tried to tackle the opponent and it cost us - the goal and the red card.
"They took advantage from our mistake and they put everything on the field. They never gave up but to be honest their goals were very poor."
- Sports & Recreation
- Barclays Premier League
- Di Canio
- Jason Puncheon