I do also have a Capital One card which I rarely if ever use. The only reason I keep it is because it's my only Mastercard, so just in case some place only accepts Mastercard I've got one. I use my AMEX for just about everything because of the rewards points (though I doubt I'll ever make enough points to get anything decent in the 9 months or so I have left until the first free year expires)
If they cancel mine, I'll just find another mastercard and won't ever use Capital One again for something. I don't have a problem if they would call up and ask if it is alright to cancel (too many people just shred the cards and do not cancel the accounts), but if they would just go out and cancel my card...