It is useful for the walls of capillaries to consist of a single layer of thin, flattened cells in order to easily diffuse oxygen and nutrients easily from the blood and into the capillaries. Not only that, but this also makes it more efficient for carbon dioxide and other waste molecules to diffuse from the capillaries and into the blood. If capillaries were thicker than a cell, then it would be more difficult for materials to diffuse through the thick layer of cells.
