Doubt surrounds the future of PSG's title-winning coach Carlo Ancelotti, who informed the club just over a fortnight ago of his desire to succeed Jose Mourinho at Real Madrid.
Mourinho yesterday confirmed his return to Chelsea, increasing the focus on who will replace him at the Bernabeu.
Ancelotti remains the favourite for the role, meaning the vacancy he would leave behind is also on the agenda.
Capello, himself a former Real coach, has been linked with the potential role in the French capital and told Sovietski Sport: "In life, you must never say never.
"For the moment, the reality is that I have a job in Russia."
Capello has another year remaining on his contract with Russia, who lead Group F of European World Cup qualifying by a point from Israel and Portugal.