The coach has been mooted as a replacement for Cesare Prandelli in the Azzurri hotseat after World Cup 2014, with the current trainer of the four-time world champions believed to want a return to club football.
However, the former England boss revealed his rejection of taking charge of Italy in favour of sticking with Russia, with whom he has a contract for the next five years until World Cup 2018.
"Could I be on the Azzurri bench? We already talked about it, but I said no," Capello, 67, told Metronews.it.
"I am absolutely concentrated on my work in Russia until 2018."
Capello took over from Dick Advocaat as the Russia coach manager in July 2012, with the Italian having resigned from his Three Lions due to a dispute with the Football Association.
Russia are currently top of Group F, one point ahead of Portugal. They are due to play away matches against Luxembourg and Azerbaijan as Capello eyes a place in Brazil next summer.