Pablo Fornals netted late on to earn the visitors a 1-0 win.
"I don't think it's impossible to reach the Champions League," Calleja said after the game.
"If we take things match by match, I think it can be achieved, though the four teams are very powerful and they will be fighting until the end."
Ensuring a debut win in the white half of the Spanish capital was clearly a source of great pride.
"Whenever you add three points from such a difficult fixture, you feel great," he cotinued.
"We're very happy to have won here but we knew we could make history.
"Despite the age of many players, they have shown a lot of maturity."