The 6ft 7ins Austrian had only arrived at Compton Park from VfB Stuttgart on Wednesday, having signed a five-year, £15million deal with Wolves.
But Kalajdzic's first game for his new side's 1-0 victory over Southampton was short-lived after he experienced knee pain in the first half, forcing Lage to replace his new signing for the second half.
"Sasa felt a pain in his knee late in the first half against Southampton. Unfortunately, scans reveal an anterior cruciate injury and he will see a knee specialist tomorrow," said a medical spokesperson for the team.
"We now need to support Sasa in his recovery and further updates will follow."
The spokesperson also provided an update on Raul Jimenez, who was ruled out of action before kick-off.
They added: "Raul's pre-season was interrupted by a knee injury which means that he is still building his resilience and his ability to recover quickly during periods of match congestion.
"It was felt that his body needed a few more days to recover after he felt a pain in his groin during the warm-up and we did not want to put him at increased risk of injury."