Legendary Brazilian full-back Roberto Carlos confirmed on Thursday that Capello was high up the list of potential candidates to replaced the deposed Gadzhi Gadzhiev at super-rich Russian outfit Anzhi Makhachkala.
With trusted assistant Franco Baldini due to leave to take up a general manager's post at Roma immediately after England have secured their place at next summer's finals in Poland and Ukraine and Capello's contract due to expire in 2012, there is a sense of uncertainty, which Anzhi's interest will only increase.
However, Capello insists there has been no contact. And it is clear he would not welcome any as he attempts to secure the point required from Friday's trip to Montenegro that would complete a second successful qualification programme.
"I am really focused on the Montenegro game," he said.
"No-one has spoken to me from Russia, so I was surprised by everything that I read.
"But I read my name with Inter. I read my name with other teams, now the Russian team.
"The answer is always the same. I am really focused on my job, to go to the Euros."
Capello did not actually state he would be going to Euro 2012. It appears though that is purely because the Italian refuses to look towards the summer, when it is quite apparent England may not even get there.
"Before we think about the summer, we need to reach to the Euros," he said.
"I will speak to you about the future after the next game.
"We need to think about qualification first. The other things are completely out of my mind."
Capello could do with some of that focus from an England squad expected to be without Steven Gerrard in addition to Jack Wilshere when it is unveiled.
A conversation with Gerrard was planned after Saturday's Merseyside derby but the outcome appeared to have been pre-empted by the Liverpool man's admission that after six months out with a groin injury, he does not feel fit enough to do himself justice in Montenegro.
Gerrard's experience and Wilshere's youthful exuberance would have been handy in Podgorica, when Capello will demand a greater sense of urgency than the Three Lions displayed against Wales last month, when their manager knew in the warm-up it was going to be a difficult evening.
"It is a really easy thing to understand," he outlined.
"Even when they shot towards the goal, in the warm-up they missed. They shot to shoot, not to score.
"When they made a pass, they were not focused. When I saw that, I thought we are not focused on the game.
"You cannot switch these things on and off like a light.
"You need to prepare your mind. You need to be careful in every moment before the start of the game.
"I watch the warm-up very carefully. And in 80% of the cases, what I think will happen is right."
Not that Capello feels England will have a problem on Friday, when a draw will be enough to ease them through.
Having spoken to compatriots Giovanni Trapattoni and Marco Tardelli about their experiences in Montenegro with the Republic of Ireland, Capello realises his team are in for a torrid time, on and off the pitch.
"We need leaders on the pitch," he said.
"It will be noisy and intense. We also need to be careful about the provocation."
Even heading into this weekend's fixtures, Capello confessed he had "big problems" with his midfield.
From the squad he initially selected for last month's games, Tom Cleverley is definitely missing and doubts linger over Theo Walcott.
However, Robert Green's knee injury once again leaves England horribly exposed in the goalkeeping department and praying Joe Hart does not suffer a problem.
And a new right-back will be required given Chris Smalling (groin) and Glen Johnson (hamstring) are both out.
Capello expects to have Wayne Rooney available and it is envisaged Manchester United team-mate Rio Ferdinand will also be included in a 23-man squad.
However, the England coach was coy over Danny Welbeck's likely involvement, despite the striker scoring twice against Basle in the Champions League this week.
"The experience is good for him, and for us because when you play at the top level the games are really important," said Capello.
"It is important when you are used to playing against really big teams and stronger players.
"He is a really important player for the future but I don't know if he plays against Montenegro, stays on the bench or he goes to the Under-21s. I still have to decide."