Capello quit on Wednesday after a meeting with the Football Association chairman David Bernstein over their decision to go over his head and strip John Terry of the England captaincy. The Italian was due to stand down after this summer's Euro 2012 finals but dismissed suggestions by departing early he had taken the easy way out.
Speaking to Italian television show Striscia La Notizia, he said: "I wasn't escaping, I left because there was a misunderstanding. It had been going well but there are times in which you decide to leave."
Capello's next move has been the subject of some debate with Inter Milan touted as a likely destination.
Inter moved to distance themselves from those reports on Thursday night by releasing a statement in which they said the speculation was "groundless" and 65-year-old Capello was also adamant he had no intention of returning to work straight away, especially in his homeland.
The former Roma, Juventus and AC Milan boss added: "In Italy absolutely not. Now I want to relax."
Capello's tumultuous week meant he was the latest recipient of Striscia La Notizia's Tapiro d'oro - a lighthearted award handed out to someone who has had a difficult few days.
Several prominent figures from football have been handed the gong previously, including Manchester City striker Mario Balotelli.