The FA took the step after the Chelsea defender was sent to trial in July charged with racially abusing Queens Park Rangers defender Anton Ferdinand in a Premier League game in October.
NEWS:FA strip Terry of England captaincy
"I do not agree with the decision to take the armband off Terry. He can't be punished until he is judged by the relevant authorities [the court]," Italian Capello told a Rai broadcast in his home country.
The FA had made it clear that the decision to strip Terry of the captaincy ahead of Euro 2012 in June had been made by chairman David Bernstein and the board, not Capello.
Any public disagreement between Capello and the FA would be highly embarrassing for England. The FA has not commented.
In making the decision last week, the English governing body said: "The board has discussed the matter in detail and has collectively decided it is in the interests of all parties that John has the responsibilities of captaincy removed at this time.
"This decision has been taken due to the higher profile nature of the England captaincy, on and off the pitch, and the additional demands and requirements expected of the captain leading into and during a tournament."
Terry previously had the armband taken away from him by Capello after allegations about his private life but he was restored to the captaincy a year later.
No replacement skipper has been named. Rio Ferdinand, Anton's brother who stepped in last time and is Terry's long-term England central defensive partner, has said he does not want to be captain again.
Capello, who steps down after Euro 2012, has always said the England job would be his last before retirement but told Rai that there had been contact with Inter Milan in recent years but none from previous club AS Roma.
