As he prepares for an U21 European Championship semifinal, Walcott said: "Everyone wants to win the competition, you don't want to be second.
"You want to go back home and have holidays knowing we've won the competition.
"He (Capello) just wished me all the best and told me to bring it home. He's the person who doesn't want to lose. That shows with how we started the qualifying campaign. We've won every game and are there nearly."
This is expected to be Walcott's last Under-21s stint, although he could still feature in the next tournament.
"I still have to work hard to play well for Arsenal and if you are not playing well you're not going to be in Mr Capello's team - that's how I think," Walcott added.
"This sort of tournament is great for the young players to come through and show Mr Capello what we can do. For me, I'm not a full England player yet. I still have to work hard for Arsenal and try to be there when I can."