Neymar has started this season in fine form for his club, but has drawn criticism for going to ground too easily.
Capello has acknowledged the Brazilian's talent, but called on the 22-year-old to cut out diving from his game.
"Neymar is a great striker, but I hate that a player of his level has to fall to the ground every time you touch him," Capello told Fox Sports Italy. "He has a very annoying attitude."
Capello, who has also managed Roma and England, is the current boss of Russia.