Start by washing the cucumber thoroughly. Using a vegetable peeler or mandoline, slice the cucumber into thin, long strips. Aim for about 1/8 inch thick. Set aside.
In a medium bowl, combine the softened cream cheese, chopped dill, lemon juice, salt, and pepper. Mix until well combined and smooth.
Lay a cucumber strip flat on a clean surface. Spread a thin layer of the cream cheese mixture over the cucumber, leaving a small border around the edges.
Place a slice of smoked salmon on top of the cream cheese. If using capers, sprinkle a few on top of the salmon.
Starting from one end, carefully roll the cucumber strip tightly. Repeat with the remaining cucumber strips, cream cheese mixture, and smoked salmon.
Once all rolls are made, you can slice them into bite-sized pieces or serve them whole. Arrange on a platter and enjoy!