The Arsenal attacker, who failed to make the plane for South Africa, also revealed that he did not receive enough support from the coach after a spell out of action with injury.
"I was confused," Walcott revealed in his autobiography. "I had been injured so much that season my confidence was fragile, but no-one ever helped me.
"If you are the boss surely you want everyone playing well and you want to encourage everyone. It killed me and I felt it wasn't fair."
The 22-year-old also recounted his time at England's training camp prior to the tournament.
"I made a run inside from my position out wide on the right," revealed Walcott.
"Suddenly Mr Capello started screaming me at the top of his voice. 'Theo,' he was yelling, 'I will kill you if you come inside like that again.' I never quite knew what was required of me."
Walcott has been awarded 17 caps for the national team.