Speaking to a light-hearted Italian TV show, due to be aired on Friday night, the former AC Milan, Read Madrid and Juventus coach also explained that he has no intention of returning to work in Italy.
"I didn't flee, I left because there was a misunderstanding," he told Striscia la Notizia.
"I felt great but sometimes you decide to leave."
Capello quit as England boss on Wednesday following a meeting with the Football Association, a day after he had given an interview to Italian public TV in which he criticised his employers' decision to strip John Terry of the England captaincy due to allegations he used racist language.
When asked if he would consider a return to work in Italy -- he has been linked in the Italian press with a move to Inter Milan -- Capello was adamant.
"In Italy, no. Absolutely not. Now I want to relax," he added.