Hodgson believes England coach Capello was wrong to snub Gerrard after the Liverpool skipper led his country impressively while Rio Ferdinand was injured.
Ferdinand returned to the England team for Tuesday's Euro 2012 qualifier against Montenegro at Wembley and was immediately given back the armband.
But England gave a poor performance in the goalless draw and Hodgson told The Sun: "I was disappointed to see that he had the England captaincy taken away from him. I've got to be honest and say I don't really understand that decision.
"As much as Rio is a great player as well, I think if you have been out for a long time through injury and you're making your first England appearance for a long, long time, someone who actually had the captaincy for three games and had done brilliantly deserves to keep it.
"I haven't spoken to Steven about the subject but I just hope he is not too disappointed about it."
Meanwhile, Capello has also come under fire from former England coach Sven Goran Eriksson.
The Swede, now in charge of Championship club Leicester City, led England to two World Cup quarter-finals during his reign and was popular with the players because of his relaxed approach.
In contrast, the no-nonsense Capello has reportedly been known to ignore players when he walks past them. That hands-off style has so far failed to win over the squad and England crashed out of this year's World Cup in the second round.
Eriksson is convinced Capello would get more from his players if the Italian adopted a laid-back approach.
"I always treated my players like men," Eriksson told The Sun. "I would certainly never walk past a player in the corridor and not speak. Why should I do that? They have to play for you so of course I would speak to them.
"If you want them to do everything they can for you, then you have to treat them with respect.
"Yes, they should always know who is the boss - but they do know that. So treat them as grown-up people.
"The big question for me is - are the players happy? Because in my mind it is all about building the right relationship with your players and creating the right atmosphere.
"Is that the case with England? I don't know. It is difficult for me to say yes or no because, to know for sure, you have to be close to the situation and I'm on the outside.
"But I believe it is so important that you trust your players and believe they will trust you