Sissoko invited journalists from French newspaper L'Equipe to his Tyneside home last night to watch Didier Deschamps name his squad for the tournament.
But the midfielder's joy at being included in Deschamps' party was tempered by the "immense disappointment" of Newcastle's relegation from the Premier League.
“I am proud to be going to the Euros," Sissoko told L'Equipe.
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"It's a dream that is being realised, but that does not erase the immense disappointment of being relegated. There is joy and frustration at the same time.”
Sissoko was handed the captain's armband at United by manager Rafa Benitez last month.