Benitez has been keen since accepting the challenge of leading the Magpies out of the Sky Bet Championship to keep the man he appointed captain on board despite the 26-year-old France international's repeated calls to be allowed to leave the club.
Interest has grown in Sissoko as a result of his performance for his country, which saw them miss out on glory after a 1-0 extra-time defeat to Portugal in Sunday night's final, prompting Newcastle to attempt to ward off potential suitors with a B#35million price tag.
However, speaking from the club's pre-season training camp in Ireland, Benitez told nufcTV: "I'm really disappointed because (France) couldn't win the final. I was really pleased for (Sissoko) though, because he was doing really well.
"We know he finished the season in really good form for us - I made him the captain, so I rate him really highly.
"I'm disappointed because they didn't win, but happy because of his performances. Now we have to wait.
"People are talking about 'this price' or 'this price'-- but we don't want to sell, so we haven't put any price (on him) and we are pleased, we are happy with him.
"I appreciate him too much to think that we will miss him, so 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."
Despite Benitez's insistence that Sissoko is not for sale, Newcastle have warned buyers - Arsenal, Manchester United, Paris St Germain, Borussia Dortmund and Juventus among others have been credited with an interest in him - that they will not get him on the cheap, if at all.
That has not gone down particularly well with the player's camp, and he reiterated his desire to leave the club on Tuesday.
Sissoko told L'Equipe: "For me, it changes nothing. The interested clubs will know how to find common ground. I hope that it will be as early as possible."
While Benitez may be desperate to retain Sissoko's services, he knows both that every player has his price and that denying him what he wants could ultimately prove counter-productive.
In the circumstances, any potential buyer may not have to go quite as high as B#35million to get their man, but the club has served warning to interested parties not to waste their time with bids which amount to a fraction of that price as they will simply not be countenanced.
Meanwhile, sources on Tyneside have played down suggestions Benitez could make a move for former England striker Peter Crouch as he continues to reshape his squad.