Walker was named man-of-the-match for England in victory over Sweden.
Capello told Sky Sports News: "Walker is a very interesting player. He has got everything.
"Technically he is very good. He is really fast and he plays with confidence always. He takes a risk.
"But he can improve. He needs to understand when you play with the seniors, when you play against the really important countries and teams, you need to be careful sometimes."