Messi was a controversial absentee from the Best Men's Player nominations, with Luka Modric scooping the top prize ahead of Ronaldo and Liverpool star Mohamed Salah.
And Capello has slammed Ronaldo and Messi, who were both included in the FIFPro World XI, for not appearing at Monday's ceremony in London.
"It is a lack of respect, for the players, for FIFA and for the world of football," Capello told TVE.
"It is possible that they won too much and do not like to lose. In life you have to be good when you win and when you lose."