It doesn't make sense to me. As Deskisamess implied, the Apple app doesn't open mobi files (assuming that you're talking about iBooks. Please say if you are something other than iBooks to look at the files). I would have expected an error message if something went wrong with the process.
If you haven't tried to do it before, you could delete the mobi and reattempt the conversion of the epub to mobi.
Or, before re-converting, you can, within Calibre, choose edit book. On the top right of the edit page you can click "run check". It should find any errors in your epub and you have the option to let Calibre fix them or you can fix them yourself. Once it is error-free, save it, close the editor and convert the book to mobi.
Once Calibre has created the mobi, select it by clicking once on it book so that you can see the summary page (where you see the cover, author names, tags, et cetera. On that panel, under formats, you should see epub, mobi. Right click on mobi, choose "Open mobi with..." If Kindle for Mac is not listed as an option, click browse computer for program.
Browse for Kindle for Mac and select it.
I hope you figure it out. I have converted hundreds of books to various formats and rarely have any issues.
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