Morata is out of favour at Stamford Bridge, and his representatives held talks with the La Liga club last week.
However Caparros, speaking at the unveiling of another striker, Munir El Haddadi, said they pulled out of a deal due to the costs involved.
‘Sevilla is a desirable team for any footballer and Morata wanted to come here, but when we started talking about costs, we realised that it was impossible,’ Caparros explained at a press conference.
In contrast to Morata, Munir has been brought in from Barcelona in a cut-price €1million (£892,000) deal, and was unveiled on Monday afternoon.
Morata is looking for a way out of Chelsea after a disappointing 18 months, with manager Maurizio Sarri exploring other striking options.
Chelsea are looking at signing Gonzalo Higuain on loan, although they will need to free up funds by finding a new home for Morata first.
Goal report that Atletico Madrid are looking at a deal for the former Real Madrid forward, while Barcelona manager Ernesto Valverde did not deny interest in bringing in Morata as back-up for Luis Suarez.