Space is just too big for this to be likely. Even over the course of billions of years, the chance of such a planet wandering close enough to a star to be gravitationally captured is very small.
If they are traveling through any particular solar system at a speed faster than the escape velocity of the system, then they would not be captured. Only if they are already going slow, or if they are slowed through a "slingshot" effect, could they be captured. And if they were created out beyond the orbit of any star, in the galactic spaces, they would be traveling that fast.
Just as likely to have been perturbed away from an orbit around a star, and gone off into interstellar space.
Someone just did the math: http://blogs.discovermagazine.com/badastronomy/2011/05/19/are-we-in-danger-from-a-rogue-planet/
It seems the chance of one of these rogue planets wandering close enough to us to be a danger is almost zero.