Capello, speaking at the Globe Soccer Awards in Dubai, said Lopez - now with Milan - could have been playing in north London had Wenger taken his tip when the Italian was in charge of the England national team - his first role after being in charge of Real Madrid.
Two of Capello's ex-clubs Real and Milan play a friendly in the UAE on Tuesday.
And two goalkeepers who Capello had at his disposal at the Santiago Bernabeu, Iker Casillas and Lopez, are set to be in goal in Dubai.
"Both goalkeepers were good. But I chose Casillas because his confidence with the team was better than Diego Lopez," the Russia coach recalled.
"Lopez needed more time to become a really good keeper. Afterwards, what happened over the last three years with Jose Mourinho and Carlo Ancelotti, it is difficult for them to choose.
"Both are really, really good.
"One [Casillas] is captain of the national team, the people like him, they think he is the best. But when he makes a mistake they kill him. You go up then you come down.
"Diego Lopez is a good keeper and he will be good for AC Milan. For them to choose Diego Lopez, I am really happy.
"I spoke with Arsene Wenger when I was with the England national team.
"I told him to buy Diego Lopez because he is good. He didn't have a problem but he said, 'My keeper is good'."
Capello said Real's recent form, including winning the UEFA Champions League title in 2013-14, came down to the powerhouse being a destination club.
"Real Madrid is always in the minds of the players, 'I want to go to Real Madrid to play with Real Madrid'," he said.
"They are the best team, where a player wants to play. From 1990 to 2003, 2004, players wanted to play with AC Milan.
"This was a dream for the players.
"It's easy to buy the players when they say they want to play with Real Madrid or Milan... easy to build a really good team.
"Real Madrid don't have many problems because they have money, they are the owners of their stadium."
