Muon spin rotation (muSR) experiments were performed on the intercalated graphite CaC6 in the normal and superconducting state down to 20 mK. In addition, AC magnetization measurements were carried out resulting in an anisotropic upper critical field Hc2, from which the coherence lengths xi_ab(0)=36.3(1.5) nm and xi_c(0)=4.3(7) nm were estimated. The anisotropy parameter gamma_H= H_c2_ab/H_c2_c increases monotonically with decreasing temperature. A single isotropic s-wave description of superconductivity cannot account for this behaviour. From magnetic field dependent muSR experiments the absolute value of the in-plane magnetic penetretion depth lambda_ab=78(3) nm was determined. The temperature dependence of the superfluid density rho_s(T) is slightly better described by a two-gap than a single-gap model.