The Italian quit on Wednesday after being annoyed by the English Football Association's decision to strip John Terry of the captaincy.
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.''