The 63-year-old has previously managed clubs like Real Madrid, Juventus, Roma and AC Milan.
Capello has also been a hit during his time in England.
“The England team will be the last football side I coach,” he told the Italian Edition of Marie Claire.
“Would I coach the Italian national side? No, it simply does not interest me.
“Italy and England could meet in the World Cup final. At the moment I wear the England shirt.
“Football is just a job to me. The three things I could not give up are my own home, my family and travelling.”