Goal.com revealed on Friday that the Welshman is set to tell Spurs that he wants to move to Real Madrid at the end of the season, but was happy to lead the side out at the Stadio Olimpico.
|7/2||Tottenham are 7/2 with Bet365 to finish in the top four this season
The 24-year-old also hailed goalkeeper Hugo Lloris, after the Frenchman made several fine saves to preserve the Premier League side's point.
"It was great to be captain, a real honour and good that we worked hard as a team and picked up a well-earned draw," Bale told the club's official website.
"We had a couple of chances in the first half but didn't get that bit of luck we needed.
"Hugo is one of the world's best and he showed that. He had a great game.
"If you take into consideration Lazio's quality and the fact they were at home, a draw is a positive result for us and it’s still in our hands to qualify."
Andre Villas-Boas' side take on West Ham on Sunday and Bale wants to respond from the midweek stalemate with a win against their local rivals.
"We have to bounce back in the Premier League," he added. "Hopefully we can get a positive result and that will put us right back in contention.
"We know it will be difficult, West Ham are on a good run at the moment but we’re a good enough team to get a result and get our season back on track."