I'm assuming Infiniti uses several banks when financing?
 

I received a letter from infiniti that says I did not qualify for the auto loan. I've had the car for two weeks and I'm going to send out the payment to Capital One next week. The letter doesn't say I must return the car or anything.

They went throught 4 banks before I got financed. If you signed a contract you are good. That is probably just one of a few banks they sent your application to.