Capello has come under heavy fire since the World Cup but Walcott said that was not the players' concern.
"You would have to ask him about that," he said. "As players we want to go out there and prove people wrong and show we can do it on the pitch.
"Our last qualification went very well, we won every single game pretty much. We always know [what he wants], the message gets across to the payers and we know what to do on the pitch. It's good to know that the manager's got the faith in us, and he's got faith in me to try to do it for him."