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A lot of places in Calgary close their kitchens around 10pm or so, or switch to a limited late-night mneu. One good place that stays open late is Bottlescrew Bill's Pub and Restaurant downtown (140 - 10th Ave SW).. The ktichen is really good and they serve a full menu until 1:30am Monday through Saturday (they close a bit earlier on Sundays, something like 11:30pm). A good choice if you want something more substantial than a fast-food sandwich late at night. http://www.bottlescrewbill.com.
If you don't want to sit down and DO just want something fast, try Tubby Dog on 17th (1022 - 17th Ave SW). They're open super late on Fridays and Saturdays - the window is open until around 4am- and 1am the rest of the week. http://www.tubbydog.com.