In terms of safety, Cala d'Or is not a cause for concern. It is recommended to follow only elementary rules: do not walk along the streets with a large amount of cash (there are Visa ATMs in every supermarket and shopping center), do not leave valuables by the pool.
In addition, you should refrain from drinking tap water - most often it is desalinated sea water, which can cause intestinal problems. In stores ask for bottled water con gaz (with gas) and sin gaz (non-carbonated) from 1 EUR per liter.
For safety reasons, campfires are also forbidden in the resort areas of Mallorca - there are specially designated areas for this purpose. The fine for violation is 100 EUR. Policia Nacional and Policia Turistica monitor the order in Cala d'Or.