with symmetry in circle placing the drawing of all elements is simpler:
\documentclass{article}
\usepackage{tikz}
\begin{document}
\begin{center}
\begin{tikzpicture}
\fill[gray!50] (-0.75,0) circle (1cm);
\fill[gray!50] ( 0.75,0) circle (1cm);
\draw (-0.75,0) circle (1cm) node {$A$};
\draw ( 0.75,0) circle (1cm) node {$B$};
\draw (-2.5,-1.5) rectangle +(5,3) node[below left]{$U$};
\node[below] at (0,-1.5) {caption};
\end{tikzpicture}
\end{center}
\end{document}

however, I doubt that placing of caption on this way is the best way. To my opinion is better to include image in figure
environment:
\documentclass{article}
\usepackage{tikz}
\begin{document}
\begin{figure}
\centering
\begin{tikzpicture}
\fill[gray!50] (-0.75,0) circle (1cm);
\fill[gray!50] ( 0.75,0) circle (1cm);
\draw (-0.75,0) circle (1cm) node {$A$};
\draw ( 0.75,0) circle (1cm) node {$B$};
\draw (-2.5,-1.5) rectangle +(5,3) node[below left]{$U$};
\end{tikzpicture}
\caption{Caption}
\end{figure}
\end{document}

Addendum:
More Venn's diagrams in one row you can obtain on different ways. For example as \subfloats{...}
:
\documentclass{article}
\usepackage{tikz}
\usetikzlibrary{fit}
\usepackage{subfig}
\begin{document}
\def\firstcircle{(0,0) circle (1cm)}
\def\secondcircle{(0:1.5cm) circle (1cm)}
\colorlet{circle edge}{blue!50}
\colorlet{circle area}{blue!20}
\tikzset{
filled/.style = {fill=circle area, draw=circle edge, thick},
outline/.style = {draw=circle edge, thick},
F/.style = {draw, inner sep=7mm, fit=(current bounding box),
node contents={}}
}
\begin{figure}
\centering
\subfloat[presentation of sets union by Venn diagram
\label{fig:ven-1a}]{
\begin{tikzpicture}
\draw[filled] \firstcircle node {$A$}
\secondcircle node {$B$};
\node (a) [F];
\node[below left] at (a.north east) {$A \cup B$};
\end{tikzpicture}
}% end of subfloat
\hfil
\subfloat[presentation of sets intersection by Venn diagram
\label{fig:ven-1b}]{
\begin{tikzpicture}
\begin{scope}
\clip \firstcircle;
\fill[filled] \secondcircle;
\end{scope}
\draw[outline] \firstcircle node {$A$};
\draw[outline] \secondcircle node {$B$};
\node (a) [F];
\node[below left] at (a.north east) {$A \cap B$};
\end{tikzpicture}
}% end of subfloat
\caption{Operations on sets presented by Venn diagrams}
\end{figure}
\end{document}

or in minipage
s:
\documentclass{article}
\usepackage{tikz}
\usetikzlibrary{fit}
\usepackage{subfig}
\begin{document}
\def\firstcircle{(0,0) circle (1cm)}
\def\secondcircle{(0:1.5cm) circle (1cm)}
\colorlet{circle edge}{blue!50}
\colorlet{circle area}{blue!20}
\tikzset{
filled/.style = {fill=circle area, draw=circle edge, thick},
outline/.style = {draw=circle edge, thick},
F/.style = {draw, inner sep=7mm, fit=(current bounding box),
node contents={}}
}
\begin{figure}
\centering
\begin{minipage}[t]{0.45\linewidth}
\centering
\begin{tikzpicture}
\draw[filled] \firstcircle node {$A$}
\secondcircle node {$B$};
\node (a) [F];
\node[below left] at (a.north east) {$A \cup B$};
\end{tikzpicture}
\caption{Presentation of sets union by Venn diagram}
\label{fig:ven-1a}
\end{minipage}
\hfil
\begin{minipage}[t]{0.45\linewidth}
\centering
\begin{tikzpicture}
\begin{scope}
\clip \firstcircle;
\fill[filled] \secondcircle;
\end{scope}
\draw[outline] \firstcircle node {$A$};
\draw[outline] \secondcircle node {$B$};
\node (a) [F];
\node[below left] at (a.north east) {$A \cap B$};
\end{tikzpicture}
\caption{Presentation of sets union by Venn diagram}
\label{fig:ven-1a}
\end{minipage}% end of subfloat
\end{figure}
\end{document}

or in sequence of tikzpicture
s on a more "fancy" way:
\documentclass{article}
\usepackage{tikz}
\usetikzlibrary{backgrounds, fit, shadows}
\usepackage{subfig}
\begin{document}
\def\firstcircle{(0,0) circle (1cm)}
\def\secondcircle{(0:1.5cm) circle (1cm)}
\colorlet{circle edge}{blue!50}
\colorlet{circle area}{blue!20}
\tikzset{
filled/.style = {fill=circle area, draw=circle edge, thick},
outline/.style = {draw=circle edge, thick},
F/.style = {draw, fill=white, inner sep=7mm, fit=(current bounding box),
drop shadow,
node contents={}}
}
\begin{figure}
\centering
\begin{tikzpicture}
\draw[filled] \firstcircle node {$A$}
\secondcircle node {$B$};
\scoped[on background layer]\node (a) [F];
\node[below left] at (a.north east) {$A \cup B$};
\end{tikzpicture}
\hfil
\centering
\begin{tikzpicture}
\begin{scope}
\clip \firstcircle;
\fill[filled] \secondcircle;
\end{scope}
\draw[outline] \firstcircle node {$A$};
\draw[outline] \secondcircle node {$B$};
\scoped[on background layer]\node (a) [F];
\node[below left] at (a.north east) {$A \cap B$};
\end{tikzpicture}
\caption{Operations on sets presented by Venn diagram}
\label{fig:ven-1a}
\end{figure}
\end{document}

Codes for Venn diagrams are stolen and slightly adopted from texample.net. There you can find diagrams for other set operations.