Di Canio, 44, replaced Martin O'Neill at relegation-threatened Sunderland on Sunday and his appointment sparked the resignation of a former government minister from the club's board.
David Miliband stepped down because of remarks the former Swindon Town boss made to Italian news agency ANSA in 2005 when he said: "I am a fascist, not a racist".
"I was prepared for the interest, not because it is Paolo Di Canio but because of the change at the club," the Italian told a news conference in an effort to steer talk away from politics and back to football.
Defeat to Manchester United on Saturday prompted Sunderland to oust O'Neill.
"When I got the call from [Sunderland chairman] Ellis Short, I felt fire in my belly. I would have swam to Sunderland to take the job," he added.
"The press like to call me the mad Italian, but I would confidently bet everything I have on Sunderland remaining in the top flight."
Never far from the headlines, he is remembered for pushing over a referee while playing for Sheffield Wednesday in England and drew outrage in 2005 when he celebrated his Lazio side's derby win over AS Roma with a fascist-style salute.
"With my energy I'm sure we can get something from the next seven games. I hope my ways give the team more confidence on the pitch," he added.
"Players need to fight for the shirt - go out on that pitch ready to sweat and shed blood for the club.
"It's important that the fans are happy with how the team perform and I hope to achieve that. We're all working towards the same goal.
"I want to take things step-by-step. Firstly, it's Chelsea and we will be fully focused for that game."
