However, the Geordie believes England now must rally behind the underfire coach for the sake of their Euro2012 hopes.
He told The Sun: "Capello was a great manager when he came to this country, but it has not really worked for him with England.
"In this job you get judged on the major tournaments and he had us in a major tournament in South Africa and we definitely underperformed there. Everyone agrees about that.
"I think if any of the other big countries had performed like we did, he would have lost his job."
But Shearer says the country should now get behind Capello as England try to qualify for Euro 2012.
He added: "What's for sure is you can't sack him now. We will still qualify, I'm pretty sure of that."