The capillaries are the smallest blood vessels in the body, they are one cell thick. These vessels are where the materials in the blood stream exchange with the interstitial fluid . Once the oxygenated blood leaves the heart it is pumped down a series of increasingly smaller vessels until it reaches the capillery network. It is here where oxygen transfer takes place and also the exchange of other materials. The capillaries are mostly found at the surface of tissues, but are also responsible for the oxygen supply of organs, and are therefore found in them. One example is the capillaries that run along the outside of the heart providing it with its oxygen supply. 
As the capillaries are responsible for the exchange of oxygen, CO2 and other materials the capillary walls must be very thin to provide a suitable exchange interface, it is therefore only made up of a single layer of endothelium cells and this allows easy exchange .