Can I leave my cala lilly in the ground all winter?

Be easier if you used the Latin name! I assume you're talking about Zantedeschia and not Calla, the bog lily.
Depends which variety of Zantedeschia it is - if it's aethiopica or any of its variants it can be left in the ground in UK and will tolerate several degrees of frost. Z. elliottiana and rehmannii are tender and cannot be left outside.
Not sure how cold it gets in Michigan!

Wouldn't recommend you leave any of them in the ground where you live!

Hi Andrea.....Calla lilies need to be lifted in the fall in Michigan. Dig them and clean them off and then let them dry. Put them into a bag with some peat moss or wood shavings and seal them up. Store them in a cool but not freezing area without light until spring.