They dominated possession but could not turn that into chances on a frustrating night, managing one attempt on target.
The draw left Roberto De Zerbi’s unbeaten side in second place on 15 points from seven games, a point behind leaders AC Milan, who host Hellas Verona on Sunday.
Udinese showed great discipline in defence to contain a Sassuolo side that had scored 18 goals in six league games but they remain second from bottom with four points.
De Zerbi said that despite the missed opportunity he was content enough with a point in the end.
“In football it takes two to play so I am satisfied with the maturity shown by the team in managing the match,” he said.