Add this to your .emacs:
(setq auto-capitalize-predicate
(lambda () (not (looking-back
"\\([Ee]\\.g\\|[Ii]\\.e\\)\\.[^.]*" (- (point) 20)))))
Remember that the I in i.e. will be capitalized to I.e if your auto-capitalize-words variable is set to contain “I”.
(setq auto-capitalize-words '())
This sets it to nothing.
Here’s a version that also deals with ellipses:
(setq auto-capitalize-predicate
(lambda () (not (looking-back
"\\([Ee]\\.g\\|[Ii]\\.e\\|\\.\\.\\)\\.[^.]*" (- (point) 20)))))
But you might want to look into some abbrev magic that turns three periods into a unicode ellipsis instead. It's up to you.