The experienced coach believes the Serie A side could be in for a tough task against the Russian powerhouse in next month's Champions League game
The former England manager has urged the Rossoneri to be cautious when they travel to the Russian champions as he believes Zenit have the quality to shock Milan.
"It's hard to say anything about Milan. They have lost their two best players, so they'll have suffered. They desperately need to get off to a good start in the Champions League in the home game versus Anderlecht," Capello stated to La Gazzetta dello Sport.
"The Brussels side are no longer the team they were before, plus Milan travel to St. Petersburg for their next match. They will have to be very cautious versus Zenit.
"They have seven Russian internationals and just added true champions like Hulk and [Axel] Witsel. Plus they are tactically very strong under [Luciano] Spalletti.
"They might play with only one striker, but always have four or five players arriving in the area at the right moment."
Milan host Anderlecht on September 18, before taking on Zenit on October 3, and Malaga three weeks later.