The 26-year-old midfielder, who starred for France in the Euro 2016 final, has declared he wants to leave St James' Park this summer.
Sky Sports News HQ understands the Magpies have told other clubs they will have to pay £35m to sign him this summer, but Sissoko hopes that "interested clubs will know how to find common ground" over his transfer fee.
Yet Benitez said on Tuesday: "People are talking about 'this price' or 'this price' but we don't want to sell, so we haven't put any price.
"We are pleased with him. We know he finished the season in really good form for us - I made him the captain - so I rate him really highly.
"I appreciate him too much to think that we will miss him. We know he has done really well and a lot of people will be talking about him. But we'd like to see him here and that's it.
"I'm really disappointed because France couldn't win the final but I was really pleased for Sissoko, though, because he was doing really well."
Sissoko joined Newcastle from French club Toulouse in 2013 and has made 118 Premier League appearances.
NEWCASTLE 4 READING 1
NEWCASTLE 4 READING 1 (Hayden, Ritchie (P), Gayle 2)
Sels, Anita, Mbemba, Clark, Dummett, Hayden, Shelvey, Ritchie (90' Aarons), Perez (76' Lascelles), Gouffran (84' Colback), Gayle
Subs: Hanley, Janmaat, Darlow, Armstrong
Rafael Benitez's Newcastle revolution finally took off as the Sky Bet Championship promotion hopefuls secured their first victory of the season at the third time of asking.
Goals from impressive trio Isaac Hayden, Matt Ritchie and Dwight Gayle, who struck twice, handed the Magpies a 4-1 win over Reading.
They did not have things all their own way - Garath McCleary levelled from the spot late in the first half - and still have issues to resolve on and off the field, but a crowd of 48,209 left St James' Park with a measure of the belief they had invested in Benitez in the wake of relegation restored.
Having seen his side misfire in defeat by both Fulham and Huddersfield, the Spaniard rang the changes once again, handing Ciaran Clark a debut and Yoan Gouffran a rare start, and he must have been relatively pleased with much of what he saw.
Hayden and Jonjo Shelvey controlled the middle of the park while winger Ritchie was a constant threat down the right.
The Magpies went ahead with 20 minutes gone when, after Ritchie's free-kick had been blocked, Hayden pounced on the rebound and smashed it past the helpless Ali al Habsi.
Gouffran saw an acrobatic 31st-minute effort saved as the home side piled on the pressure, but the Royals held firm and might have been back on terms eight minutes before the break when John Swift and McCleary staged a pacy counter-attack from Chris Gunter's clearing header and Roy Beerens swept a shot against the bar.
However, they did level as Newcastle conceded for the third time in as many games on the stroke of half-time when, after Swift had been allowed to surge into the penalty area unopposed, Clark upended him with a rash challenge and referee Andrew Madley pointed to the spot.
McCleary gave keeper Matz Sels no chance to leave Benitez's players licking self-inflicted wounds as they trudged off.
But they were back ahead within five minutes of the restart when Mr Madley awarded a second penalty amid a melee as Ritchie's corner arrived in the penalty area and Ritchie found the bottom corner despite Al Habsi guessing correctly.
Hayden could have given Newcastle breathing space when he powered his way into the box with 66 minutes gone, but could not beat Al Habsi.
However, Gayle did just that three minutes later when, after Hayden had been hauled back by George Evans, he curled a free-kick into the top corner despite the keeper's best efforts, and he rounded off the win at the death with a close-range finish from Hayden's deflected cross.
NEWCASTLE 4 READING 1 (Hayden, Ritchie (P), Gayle 2)
Sels, Anita, Mbemba, Clark, Dummett, Hayden, Shelvey, Ritchie (90' Aarons), Perez (76' Lascelles), Gouffran (84' Colback), Gayle
Subs: Hanley, Janmaat, Darlow, Armstrong
NEWCASTLE 1 HUDDERSFIELD 2 (Gayle)
Sels, Janmaat (83' Armstrong), Mbemba, Lascelles, Dummett, Anita, Hayden, Shelvey, Aarons (45' Ritchie), Diame (75' Perez), Gayle
Subs: Clark, Colback, Darlow, Gamez
FULHAM 1 NEWCASTLE 0
Sels; Janmaat, Lascelles, Hanley, Dummett; Hayden (Shelvey 77), Colback (Aarons 61); Ritchie, Perez (Armstrong 70), Anita; Gayle.
Subs Mbemba, Darlow, Jesus Gamez, Sterry.
NEWCASTLE 3 VITESSE ARNHEM 2 (Leerdam (og), Gayle, Colback)
Sels; Janmaat (Sterry, 74), Hanley (Gamez, 62), Lascelles, Dummett; Hayden (Saivet, 74), Colback (Shelvey, 62); Anita (Mitrovic, 74), Perez (Armstrong, 62), Ritchie (Aarons, 62); Gayle (Gouffran, 74). Subs not: Darlow, Tiote, Thauvin.
SOUTHEND UTD 0 NEWCASTLE 2 (Anita, Gouffran)
Darlow; Janmaat (Sterry 63), Mbemba (Hanley 63), Lascelles, Dummett; Hayden (Colback 63), Shelvey (Saivet 73); Anita (Thauvin 78), Perez (Mitrovic 73), Aarons (Gouffran 63); Gayle (Armstrong 63).
Sub not used: Sels.
SPORTING LOKEREN 0 NEWCASTLE 4 (Perez 2, Perez, Janmaat, Shelvey)
Sels (Darlow 72); Sterry (Gouffran 63), Mbemba (Saivet 72), Lascelles (Dummett 63), Anita (Gamez 46); Hayden (Shelvey 46), Colback (Tiote 72); Janmaat, Perez (Mitrovic 46), Aarons (Thauvin 63), Gayle (Armstrong 63).
Subs not used: None.
DONCASTER ROVERS 2 NEWCASTLE UTD 2 (Hayden, Perez)
Sels, Janmaat (Sterry, 45), Mbemba (Saivet, 65), Lascelles (Dummett, 45), Colback (Hayden, 45), Anita (Gamez, 45), Ritchie (Gouffran, 45), Aarons (Perez, 45), Shelvey (Wijnaldum, 79), Mitrovic (Gayle, 45), Armstrong (Thauvin, 60).
BOHEMIANS 0 NEWCASTLE 6 (Ritchie, Mitrovic, Gayle, Thauvin, Aarons, Wijnaldum)
Sels, Anita, Lascelles, Mbemba, Sterry, Aarons, Colback, Gouffran, Ritchie, Saivet, Mitrovic.
Subs: Darlow, Gamez, Dummett, Wijnaldum, Shelvey, Hayden, Perez, Gayle, Janmaat, Tiote, Thauvin.