Divock Origi's 88th-minute goal was the difference between the Group H rivals in Rio, leaving Capello's charges' hopes of progressing hanging in the balance.
"I am very happy with the performance of the team and I thought the result was unfair," the 68-year-old is quoted as saying by BBC Sport. "The truth of the matter is we had chances to win it but we lost.
"Both teams gave it their all and unfortunately it was Belgium that was able to make it. We have to look forward and I said when we came to play in this World Cup after being absent for 12 years that this will be a great help for us to understand the level we need to be at in future competitions."
Capello took over as manager of Russia in 2012 following four years in charge of England.