Betis led 1-0 entering the latter stages of the league match in Seville, with victory set to hand them real hope of survival this season.
However, Malaga scored twice in the final six minutes to pick up all three points and leave Betis rock bottom of the table with seven games remaining.
"Analysing the game, it's incredible to think we've lost, it's hard to explain. It was like a horror movie. You have to take your chances though," Inside Spanish Football quotes Calderon as saying.
"They've had three and scored two of them, but that's football and there's not much else I can say. We deserved to extend our lead, but if you don't score, you leave yourself open to what has happened."
Betis are currently eight points from safety.