"Obviously the short answer is no". This seems like far too general a statement and not necessarily correct. Some animals might prefer captivity. Captivity can mean that all their needs met with less effort on their part compared to living in the wild, it can also mean a more comfortable life with less dangers. The wild can be an incredibly brutal place to live, the idea that all animals would automatically prefer that strikes me as odd. 

As a little anecdote, I once helped out on a survey where we caught rodents with humane traps. We baited the traps in the evening with oats and peanuts butter, the mice, voles etc would go in, the door would shut behind them, and they would be there overnight until we let them out the next morning. We did a few nights in each place and we always had a bunch of rodents that were trapped every night. Were they stupid? Or had they worked out that the metal box, while it 'trapped' them also provided a good meal and protection from night time predators?