The Italian quit on Wednesday after the English Football Association's decision to strip John Terry of the captaincy following alleged racial abuse of a player.
Capello was quoted by Italian news agency ANSA as saying Friday: ''I haven't run away. I left because there was a misunderstanding. I was very happy there, but there are times when you just decide to leave.''
Asked if he would coach again in Italy, the 65-year-old Capello said: ''Not in Italy, absolutely not. For now, I want to relax.''