In some states they are illegal. Although the previous answer is right, there are a lot of things about monkeys most people are not aware of.
Firstly, you cannot have just the one, these are social animals, and suffer great psychological stress if kept alone.
Secondly, they cost a ton. And not just to buy. Marmoset gums and monkey pellets are not a complete diet, they need a broad range of food and are expensive to feed. They also need access to UV, preferably from natural sunlight which means a large, secure garden enclosure. You can provide UV lighting indoors. But you will need a cage. Leaving a monkey to run around your home will end in disaster, they will hurt themselves or you with electrical sockets, sharp things, anything remotely dangerous. Monkeys can rip light wire apart so you're looking at heavy duty wire of the sort to contain large parrots. Where I am from no-one would be allowed to house a capuchin in an enclosure less than 18 feet long. Do you have that sort of room? You'll need a custom build enclosure and it will cost thousands.
Then there's the aggression. Baby monkeys are cute, cuddly and so clingy. Once they hit sexual maturity they get aggressive. Even hand reared monkeys (and hand rearing is very cruel and damaging to the monkey, by the way), communicate partly through aggression and small monkeys can still do a lot of harm. Capuchins require a license in my country because they are considered dangerous. You might not think so, but they have strong hands and powerful teeth, they have the ability to wield weapons, and they have the smarts to know how to hurt people, where to hit them to hurt the most. Monkeys have a track record of going for your face, your eyes, your genitals.
They rub pee and poo all over their hands, you'll get this all over you. They masturbate openly in front of people. Their poo is VERY human like and stinky and NO you cannot keep a diaper on them all the time.
I would think very carefully about this. Most people keep their monkeys until they hit sexual maturity them dump them off on an exotic animal rescue because they cant deal with it. Monkeys are a full time job, forget having a holiday again as pet sitters dont have the experience for monkey care. And capuchins can live 50 years. Its a huge commitment. In most cases its not a good idea.