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."
"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.
"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."
