Mourinho has recently been strongly linked with a return to the Premier League.
Callejon said: “I do not believe Mourinho will go at the end of the season, because he is happy here.
“He really wants to work hard and to do things well. I think he is calm and really wants to win a lot of trophies.”
Real Madrid are currently seven points clear of rivals Barcelona at the top of the La Liga.
“We play for the league in every game and we cannot falter at all,” Callejon said.
“We have the league championship in our own hands. We want that and the Champions League, now we cannot win the Copa del Rey.
“This is the best club in the world and we always aim to win everything that we can.”
