The leftist People's Revolutionary Army, or EPR, Mexico's most active guerrilla group, said it did not know what happened to him.
"We do not know if his disappearance is for political motives, his inter-party disputes, or because of the social breakdown of this neoliberal government," an EPR statement posted on the internet said.
Cavello's family issued a statement via their lawyer urging his captors to communicate with them in order to negotiate his release, but Mexico's attorney-general said no one had contacted the family or authorities.
The disappearance comes amid a wave of drug violence that has killed more than 22,700 people since Calderon launched a crackdown against organised crime in December 2006.
Drug traffickers are increasingly attacking political and government leaders in retaliation for the operations.
Calderon's US visit
As the search for Cavello goes on, Calderon is to travel to Washington.
Barack Obama, the US president, will host Calderon and his wife on Tuesday at a White House state dinner, the second of his presidency. Calderon is also scheduled to speak to a joint session of the US congress.
Calderon, whose presidency ends in 2012, will be seeking further US validation for his war on the illegal drug trade.
The trip is significant because US politicians are unsure what to do with the 12 million illegal migrants - mostly from Mexico - living in the country.
A controversial new law in Arizona, which lets police detain anyone they believe may be an illegal immigrant, even if that person is not suspected of committing a crime, is an expression of the frustration felt by many Americans.
It has added urgency to resolving the immigration issue between the US and Mexico.
The law has provoked boycotts and anger across the continent, particularly in Mexico, which has some 10 per cent of its population living in the US.
Calderon has strongly condemned the Arizona law, and cautioned Mexicans about travel to the southwest US state in a rare advisory.