According to the Capital One faq section, you can update your address through the website:
sign in to capitalone.com;
click on your name/icon in the top right corner;
click 'Profile' to access and edit your contact information.
If you want Capital One sends you a replacement card, please send a request by filling out the Get Replacement Card form at capitalone.com.
If you want to report your card is lost or stolen, please contact Capital One directly at 1-80*-227-4825.