Cappelen bought the work, a lithograph titled "Self Portrait with bone", in the three months leading up to his arrest, paying the art dealer in a series of instalments.
"I should never have sold the picture to him. I thought he was involved in car sales, and not drugs," the art collector told VG.
The work, which is worth as much as one million kroner ($166,000), is one of the Norwegian painter's most famous self-portraits, VG's art review Lars Elton said.
Cappelen has admitted to being behind the 115kg of cannabis found when he was seized in Decembber, and is thought to have distributed some 20 tonnes of cannabis around Norway in recent years, according to the online news site NA24.