Gunners boss Arsene Wenger wanted to sign Baptista from Seville last summer. But the attacking midfielder opted for a £15m move to the Bernabeu instead.
The report also says Capello is tracking Ashley Cole as a possible replacement for Roberto Carlos should the Brazilian decide on a move to the Premiership before the start of the season.
PSV Eindhoven have announced the signing of Mexican defender Carlos Salcido. Arsenal were understood to have been pursuing him after his performances in the World Cup.