Ca energy release when gaining an electron
Two sign conventions: (1) the more common one states that a positive
  electron affinity value represents energy release when an electron is
  added to an atom; (2) the other states that a negative electron
  affinity represents a release of energy.


http://www.rose-hulman.edu/~brandt/Chem251/GenChem_Review_v3.pdf


  Recommended values for these electron affinities, in the units
  commonly employed in introductory texts and with the sign convention
  used here, are 2.37, 5.03, and 13.95 kJ/mol for Ca, Sr, and Ba,
  respectively. The endothermic electron affinities often quoted for Be
  and Mg are also too large and should be reported simply as ">0". An
  argument for a return to the original sign convention for the electron
  affinity is presented in this paper.


http://pubs.acs.org/doi/abs/10.1021/ed074p123


  OP: I know that the electron will be settled in the 3d orbital 


Actually, as explained in the above article, the electron occupies 4p.  


  OP: but still, why would energy be released?


Very little energy is released and the lifetime of Ca- is on the microsecond scale in practical experiments.  The reference Contributions to the electron affinity of calcium and scandium may be the best source for theoretical models that do and don't predict a slight energy release.  According to Atomic negative ions: structure, dynamics and collisions, core electrons need to be considered in addition to the valence electrons in calculating the stability of Ca-.  Early calculations that considered only valence electrons predicted that Ca- was unstable.  Configuration-interaction study of differential correlation energies in Ca-, Ca, and Ca+ presents detailed calculations of energy levels.