The goalkeeper returns to San Siro stadium tonight with Italy for the first time since quitting Milan for PSG over the summer.
Donnarumma will start for Italy in the Nations League semifinal against Spain.
Asked about how the local fans will react, Capello told Corriere dello Sport: "Donnarumma asked not to be booed at San Siro? I hope he is satisfied, because he is a player of the national team who has made a fundamental contribution to the European title.
"But let me say one thing: Donnarumma was ungrateful towards Milan, going to PSG. For everything that the club had done for him and his family when he was a kid, he should have behaved differently."