Toon face a huge test to maintain their unbeaten record at Manchester City this weekend.
"I'm so happy right now," Coloccini told The Sun.
"Being captain has just added to that. It is something I never thought would happen but it means so much.
"It has been an amazing start from us and I just hope we can keep it going. We are playing the best team in the Premier League right now and we know it will be very difficult.
"But we are working so well together as a team, so we go there with confidence. We are ready.
"I played in some great defences when I was in Spain but it's fair to say this is the first time it has happened here in Newcastle.
"You can't just look at us defenders though. All over the pitch, everyone is working — especially when we don't have the ball, which is so important.
"Honestly, it's hard to believe how well we have done so far. If you'd have said to me in the summer that we would get to November and still be unbeaten I wouldn't have believed it."