Demichelis was left for dead as Marcus Rashford raced through to score the decisive goal, was fortunate not to concede a penalty for a foul on the young striker and also played a short back-pass to Joe Hart, which had the goalkeeper scrambling and resulted in a month-long lay-off for the England international.
The veteran centre-back was substituted not long afterwards, with City boss Manuel Pellegrini citing "nerves" as the reason for his withdrawal, and Caballero has shed some light on a chastening afternoon for his compatriot.
"I know Martin well and he is a really professional player," he told reporters. "Unfortunately, he feels really bad now about himself, and about the game, but he now has to go to Argentina for the international games, so I wish him all the best.
"We are a team, and when I have made a mistake and we have lost, I feel the same. The most important thing is not who makes mistakes, but who tries to react for the team.
"In this case it could have been Martin, but everyone makes mistakes during the season. We are a team and have to react, and to take our chances."
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Caballero received a warm reception from the Etihad Stadium crowd when he replaced the stricken Hart on Sunday.
That represented something of a reversal of fortunes for the 34-year-old, who was an unpopular choice with many City fans when he was named in Pellegrini's starting line-up for the League Cup final against Liverpool.
But although he secured hero status after saving three shoot-out penalties at Wembley, he insists his confidence in his own ability has not altered as he prepares to deputise for Hart.
“I feel the same, that it's a great opportunity for me if I play," he added. "I don't feel any different after Wembley – I have always felt that I could play, and have always tried to do my best. Sometimes I could, sometimes I couldn't, but I have been training really hard and I feel comfortable.
"Winning at Wembley was a great achievement for me and for the club, but maybe I saw a difference in the papers and on the TV. I feel the same, though, as I did before the final.
“Maybe I got lucky, but now I have to just make sure I am ready if the boss needs me."