Capello resigned on Wednesday after the Football Association board went over his head to strip Terry of the captaincy, with the player facing trial on a racist abuse charge in July, after Euro 2012. Terry denies a charge of racially abusing QPR defender Anton Ferdinand.
Capello made clear in an interview with Italian television on Sunday that he completely disagreed with the FA's decision, and Arsenal manager Wenger told Arsenal Player on Thursday: "When the decision came out from the FA, I said that the choice of captain is down to the manager. You (the manager) pick your team, you choose your captain.
"I did not expect such an extreme situation but it looks like there was already some turbulence there and that was just the final straw. I am sad that Capello leaves four months before such an important competition, it is a big blow for England and I am sad for him."