I think there's a lot of truth to that, but Calderón's comments rankle nonetheless. First of all, Calderón bears no small measure of responsibility for the outsized role security issues play in perceptions of Mexico. He played up the issue more than anyone in the early years of his presidency, adjusting his tone really only after the mid-term elections in 2009. Second, Brazil may be more violent, but it does not, I suspect (and it occurs to me that I may well be wrong about this) house criminals with the international notoriety and longstanding impunity of Chapo Guzmán. And lastly, and most importantly, no one wants to be told what to say or think, even if your motivations fall short of totalitarianism. (See Fleischer, Ari for more.) Doing so is both counterproductive (in an open democracy it provokes precisely the sort of commentary you want to prevent) and inappropriate for a president.
If he wants the widespread and unfair impression of Mexico as a scene from Desperado to fade, Calderón's best bet would be to focus relentlessly on other subjects, and be patient. And maybe catch a few more of the most infamous bad guys.