The Gunners made one of the most high-profile acquisitions of the summer transfer window by successfully luring the Germany international to the Emirates Stadium on deadline day for a fee in the region of £42m.
However, Capello, who has had two spells at the Santiago Bernabeu, believes that the Spanish giants will one day regret sanctioning the sale of the 25-year-old.
Speaking to Onda Cero, the veteran coach said: "I don't know what happened with Ozil.
"I think that he is an extraordinary player and he was very important for Real Madrid. He's a world-class player. They made a mistake selling him."
The former Werder Bremen starlet has made a strong start to life in North London, hitting three goals and six assists for the club in all competitions this season.