Capello, 65, is without a job after stepping down as coach of England last week following the Football Association's unilateral decision to strip John Terry of the captaincy.
A move to Inter Milan has been mooted as a possibility, with Claudio Ranieri under considerable pressure at San Siro, but Baldini expects Capello to continue working outside his native country.
"I do not believe that a return to Italy is in his plans, I would be very surprised if that happened," Baldini told Mediaset.
Russian Premier League outfit Anzhi Makhachkala are believed to be in pole position to secure Capello's services after Yuri Krasnozhan left the club on Monday.
Meanwhile, Roma sporting director Baldini rued his team's display in their 1-0 Serie A defeat at Siena on Monday.
"We saw one side who wanted the victory and one who did not want it that much," he said.
"We did not play the game we usually play, I think it was one of our worst performances this season."
"Roma missed more than the result tonight. The coach and the players must question themselves."
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