The 25-year-old called on his side to work harder to ensure that they do not concede goals from set-pieces after their narrow 3-2 win over Real Valladolid
Jose Mourinho's men recovered from going down 2-1 away to Real Valladolid after a double from Manucho, with Mesut Ozil scoring twice to hand Los Blancos a 3-2 victory.
The former Espanyol star stated that he was happy with the win, and praised his side's reaction after falling behind.
"Valladolid went ahead twice, but we managed to react well to get ourselves ahead and hold on, because they made things difficult for us," the 25-year-old told the club's official website.
"We came back with a good goal from Ozil, and I am happy with the match, now we can't drop any points."
But Callejon also spoke of Madrid's poor record of conceding from set-pieces, and said the side must rectify those problems if they are to cut Barcelona's lead.
"These sorts of goals bother me, because we have to be more alert and correct those mistakes," he said.
"The set-piece situations, where opponents use their height advantage, are something we need to keep working on so that what happened in this match does not happen again."
The La Liga champions travel to Celta Vigo in the Copa del Rey in midweek, before facing Espanyol at home next weekend.