The Italian, who replaced Dick Advocaat last month, promised to give under-fire Arshavin a "second chance" after the Arsenal forward was singled out for Russia's poor showing at Euro 2012.
Last week Capello named Arshavin in an expanded list of 37 players, saying the 31-year-old "still plays an important role in the team", but on Friday decided to drop him.
Arshavin, who has seen his career nosedive in recent months, said he was not surprised.
"I talked to Fabio during our last training camp (in August) and he told me he would not select me next time if I don't play enough for my club so his decision looks very logical," Arshavin told the Sport-Express newspaper.
"It doesn't surprise me at all."
In February, he rejoined former club Zenit St Petersburg on loan from Arsenal following a turbulent year at the London club but failed to rediscover top form.
Former England manager Capello also dropped strikers Roman Pavlyuchenko and Pavel Pogrebnyak, while winger Yuri Zhirkov and 36-year-old midfielder Sergei Semak, who last week was recalled to the national team after a two-year absence, are injured.
Goalkeeper Vyacheslav Malafeyev is also missing after deciding to put his international career on hold.
Russia begin their qualifying campaign at home to Northern Ireland on September 7 before facing Israel four days later.
Goalkeepers: Igor Akinfeyev (CSKA Moscow), Anton Shunin (Dynamo Moscow), Vladimir Gabulov (Anzhi Makhachkala)
Defenders: Alexander Anyukov (Zenit St Petersburg), Alexei Berezutsky (CSKA Moscow), Vasily Berezutsky (CSKA Moscow), Sergei Ignashevich (CSKA Moscow), Georgy Shchennikov (CSKA Moscow), Taras Burlak (Lokomotiv Moscow), Andrei Yeshchenko (Lokomotiv Moscow)
Midfielders: Igor Denisov (Zenit St Petersburg), Roman Shirokov (Zenit St Petersburg), Konstantin Zyryanov (Zenit St Petersburg), Vladimir Bystrov (Zenit St Petersburg), Viktor Faizulin (Zenit St Petersburg), Alan Dzagoyev (CSKA Moscow), Denis Glushakov (Lokomotiv Moscow), Magomed Ozdoyev (Lokomotiv Moscow), Alexander Samedov (Lokomotiv Moscow), Dmitry Kombarov (Spartak Moscow), Diniyar Bilyaletdinov (Spartak Moscow)
Forwards: Alexander Kerzhakov (Zenit St Petersburg), Artem Dzyuba (Spartak Moscow), Alexander Kokorin (Dynamo Moscow).
- Zenit St Petersburg