Well you didn't say where in the world you are and it makes a difference.
Calla lilies are hardy through U.S. zone 8, perhaps even 7 depending on variety. So if you are in any tropical or subtropical area or even warmer parts of temperate, you can probably just leave it in the ground.
Otherwise yes they are tender perennial bulbs, that are not frost hardy. They die back in the fall, but can be replanted in spring if they are given proper care:
If you are in a cold winter area, you need to dig up the bulbs once the foliage is dying back, before the first frost. Dig and handle them gently. Cut off the tops, clean off excess soil, let dry out of the direct sun for a few days (or indoors in a sunny window, if your weather is cloudy/rainy) then store in a paper (NOT plastic!) bag in a cool, dark, dry location that remains between 45 and 60 degrees F. like a basement or garage, as long as it won't freeze. Could even be in the crisper drawer of your frig. Re-plant in spring after the soil has warmed and night time temps are up to 50.