diff --git a/src/common/column_matrix.h b/src/common/column_matrix.h
index 2a8fc2d69ca2..f16d1252f9a1 100644
--- a/src/common/column_matrix.h
+++ b/src/common/column_matrix.h
@@ -152,7 +152,8 @@ class ColumnMatrix {
     if (!any_missing_) {
       missing_flags_.resize(feature_offsets_[n_features], false);
       // row index is compressed, we need to dispatch it.
-      DispatchBinType(gmat.index.GetBinTypeSize(), [&, size = batch.Size()](auto t) {
+      DispatchBinType(gmat.index.GetBinTypeSize(), [&, size = batch.Size(), n_features = n_features,
+                                                    n_threads = n_threads](auto t) {
         using RowBinIdxT = decltype(t);
         SetIndexNoMissing(base_rowid, gmat.index.data<RowBinIdxT>(), size, n_features, n_threads);
       });