Alves said on Thursday Spain was a "lost war" when it came to tackling racism and called for stiffer punishments for clubs whose fans abused opposition players.
"The only club that has suffered a lot of insults throughout its history is Real Madrid," Callejon told a news conference previewing Saturday's La Liga match at Granada when asked about the Alves remarks.
"We always go to play in very difficult stadiums and there have been players, and right now there are players, who are being insulted for this issue [racism]," he added.
"It's an issue you can't control which also happens in Spain and in other countries. I think it's a bit unfortunate."
A Reuters reporter at the Bernabeu on Wednesday confirmed monkey chants had been directed several times at Alves by a significant section of the Real fans.
The referee did not mention them in his match report.
There have been several high-profile incidents of racist abuse in European football in recent weeks despite efforts by the governing body UEFA to stamp it out.
AC Milan midfielder Kevin-Prince Boateng led his team off the pitch during a friendly at Italian lower division side Pro Patria last month in protest at chanting by the home fans and the game was abandoned.
"We saw the racist insults directed at Boateng in Italy and it's a worrying issue," Callejon said.
"It is not pleasing that these insults are made and let's see if they will stop once and for all."
Callejon also confirmed that there had been an altercation between assistant Real coach Aitor Karanka and Barca forward Lionel Messi after Wednesday's semi-final first leg, which ended in a 1-1 draw.
Media reports which said Messi called Karanka "Mourinho's puppet" were correct, Callejon added.
A former Real player, Karanka often stands in for coach Jose Mourinho at news conferences.
"I saw what happened with Aitor because I was behind him," Callejon said.
"I think that sometimes the 'good ones' are not so good and the 'bad ones' not always so bad."
Real, whose title defence has faltered leaving them 15 points behind leaders Barca, can close to within a point of second-placed Atletico Madrid with a win at Granada.
Barca play at Valencia and Atletico host Real Betis on Sunday.
