We report the fabrication of internal diffraction gratings in calcium fluoride crystals by a focused near-IR 800 nm femtosecond laser. The diffraction efficiency and refractive index change were evaluated after femtosecond laser irradiation and subsequent annealing. The maximum refractive index change was estimated to be 3.57x10(-4). Optical absorption spectra, measured for the crystals before and after the laser irradiation and subsequent annealing, indicate that the absorbance increase after femtosecond laser irradiation and decrease with increasing annealing temperature. The mechanisms of refractive index change are proposed. The results may be useful for fabrication of three-dimensional integrated optics devices in the crystals.