Because, IMO, both Wenger and Mourinho have done better. Mourinho won two Champios Leagues and a UEFA Cup (which should've been ours :'(), as well as taking league titles in three nations. Wenger has kept Arsenal consistently in the top four by only using young, quite inexperienced pplayers and, for the most part, cheap signings. He also led Arsenal to an unbeaten season in 2004 when they won the league.
Capello won the league with Roma, Real Madrid and Juventus this decade, and led England to an unbeaten WC qualifying campaign.