The former England boss was initially surprised by the 71-year-old's decision to retire from football management after a exchange they had a few months ago.
But, during phone call with Sir Alex on Thursday, the Scot revealed how he wanted to escape the mental pressure of challenging for prizes at Old Trafford after 26 years in the job.
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"I called him and he told me that he decided this way because of excess stress. ... He told me that now he'll go and travel a bit, have fun and see the world with his wife."
Sir Alex amassed 38 trophies during time time at United, and Capello went on to congratulate the longevity of the Scot's desire to succeed at one club.
The Italian continued: "He was the greatest coach of all time, especially because of all the difficulties he overcame at the start of his career with Manchester and for remaining for so many years on the same bench.
"It's really incredible. I normally think that after four-five years at the most a coach should move, so to think that he stayed on the same bench for 26 years is incredible.
"That takes psychological, technical and humane capacity. I had a special relationship with him."Sir Alex will be given an emotional send off at Old Trafford when United take on Swansea on Sunday.
The Premier League champions will also be handed their trophy and winners' medals following the game, the manager's 13th title success during his tenure.