New Zealand have already whitewashed Sir Clive Woodward's British & Irish Lions and won the Tri-Nations title, and they are in the mood to now try to end a 27-year wait.
"It is massive for us, and for All Blacks rugby," said Kelleher, ahead of the Wales opener at the Millennium Stadium.
"We had the decision to make of whether we would add Wales to the tour, and the players, coaches and New Zealand Rugby Football Union were very happy to collectively decide we were going to do that, turn it into a Grand Slam tour and try to achieve it.
"We feel we can't wait to get a run out there against Wales on Saturday. We've just got to turn up on the day, and make sure we front up.
"There might be a bit of rustiness there, but we are here to play rugby and the continuity will come as the game goes on."
Wales have not beaten New Zealand since 1953, but their form in lifting the Six Nations title last season has raised hopes of that long losing run being ended.
And Kelleher is quick to applaud the Welsh revival under coach Mike Ruddock, especially their thrilling brand of attacking rugby.
"It is exciting to see, and it is the sort of approach that is going to bring crowds to the game," he added.
"It is an explosive, high-paced game, and Wales have certainly come a long way.
"They are a real threat, a world force, you can see that has developed over the past couple of years. They are definitely climbing up the ladder at a rapid pace."
Wales have injury problems though, ahead of the All Blacks clash, with Lions players Gavin Henson, Tom Shanklin, Ryan Jones and Gethin Jenkins already ruled out, while scrum-half Dwayne Peel is a major concern.
Peel is battling to overcome an ankle injury, and if Kelleher plays on Saturday, he might not discover until later in the week who his opponent will be.
"Dwayne Peel is a class half-back, and I enjoyed playing against him on the Lions tour," said Kelleher.
"It brings out the best in me when I have got competition and when opposition players are breathing down your neck. That is what I look forward to."