Imagining that on the table eventos the field data is of a date type, we can then get the amount of events per day by changing the query to use a GROUP BY in the days:
SELECT DAY(data), count(*) as contagem from eventos 
       where MONTH(data) = $mes_at and YEAR($ano_at) = $ano_at group by DAY(data)
With this query we built a dictionary so that it can be used in the construction of the calendar in html:
$query = mysqli_query($db, "SELECT DAY(data) as dia, count(*) as contagem from eventos 
               where MONTH(data) = $mes_at and YEAR($ano_at) = 2017 group by DAY(data)");
$dias = Array();
while ($row = mysqli_fetch_assoc($query)){
    $dias[$row["dia"]] = $row["contagem"]; //acrescentar cada contagem da consulta
}
Next we use this dictionary in the cycle/loop that creates the several days of the table:
<table class="calen">
    <?php
    $days = date("t");
    $atual = date("d");
    $mes_atual = date("m");
    for ($at = 1; $at <= $days; $at++){ //for para ser mais simples
        if($at%7 == 1){
            echo "</tr><tr>";
        }
        ?>
        <td class="calen_td <?=$at==$atual?'atual':''?> <?=isset($dias[$at])?'with_event':''?>" data-dia="<?=$at?>" data-month="<?=$mes_atual?>"><?=$at?></td>
        <?php
    }
    ?>
</tr>
</table>
Notice I switched out the ifs by ternary operators only to become more compact in writing.
Example in Ideone (with forced sample days)
Ideone html result interpreted in browser:
<html>
<head>
  <style>
    .with_event {
      background-color: red;
    }
    
    .atual {
      background-color: green;
    }
    
    .calen td {
      padding: 20px;
    }
  </style>
  <body>
    <table class="calen">
      </tr>
      <tr>
        <td class="calen_td  " data-dia="1" data-month="11">1</td>
        <td class="calen_td  " data-dia="2" data-month="11">2</td>
        <td class="calen_td  " data-dia="3" data-month="11">3</td>
        <td class="calen_td atual " data-dia="4" data-month="11">4</td>
        <td class="calen_td  " data-dia="5" data-month="11">5</td>
        <td class="calen_td  " data-dia="6" data-month="11">6</td>
        <td class="calen_td  " data-dia="7" data-month="11">7</td>
      </tr>
      <tr>
        <td class="calen_td  " data-dia="8" data-month="11">8</td>
        <td class="calen_td  " data-dia="9" data-month="11">9</td>
        <td class="calen_td  " data-dia="10" data-month="11">10</td>
        <td class="calen_td  " data-dia="11" data-month="11">11</td>
        <td class="calen_td  " data-dia="12" data-month="11">12</td>
        <td class="calen_td  with_event" data-dia="13" data-month="11">13</td>
        <td class="calen_td  " data-dia="14" data-month="11">14</td>
      </tr>
      <tr>
        <td class="calen_td  " data-dia="15" data-month="11">15</td>
        <td class="calen_td  " data-dia="16" data-month="11">16</td>
        <td class="calen_td  " data-dia="17" data-month="11">17</td>
        <td class="calen_td  " data-dia="18" data-month="11">18</td>
        <td class="calen_td  with_event" data-dia="19" data-month="11">19</td>
        <td class="calen_td  with_event" data-dia="20" data-month="11">20</td>
        <td class="calen_td  " data-dia="21" data-month="11">21</td>
      </tr>
      <tr>
        <td class="calen_td  " data-dia="22" data-month="11">22</td>
        <td class="calen_td  " data-dia="23" data-month="11">23</td>
        <td class="calen_td  " data-dia="24" data-month="11">24</td>
        <td class="calen_td  with_event" data-dia="25" data-month="11">25</td>
        <td class="calen_td  " data-dia="26" data-month="11">26</td>
        <td class="calen_td  " data-dia="27" data-month="11">27</td>
        <td class="calen_td  " data-dia="28" data-month="11">28</td>
      </tr>
      <tr>
        <td class="calen_td  " data-dia="29" data-month="11">29</td>
        <td class="calen_td  " data-dia="30" data-month="11">30</td>
      </tr>
    </table>
  </body>
</html>
 
 
Since you now have the event count per day you can even show how many events have that day on the calendar by changing only the <td>:
<td class="calen_td <?=$at==$atual?'atual':''?> <?=isset($dias[$at])?'with_event':''?>" data-dia="<?=$at?>" data-month="<?=$mes_atual?>"><?=$at?>
    <?php if(isset($dias[$at]) && $dias[$at]>0) { ?> //se tem dias coloca no span
        <span class="dias"><?=$dias[$at]?></span>
    <?php } ?>
</td>
See this example also in Ideone
Which gives you the following html:
<html>
<head>
  <style>
    .with_event {
      background-color: red;
    }
    
    .atual {
      background-color: green;
    }
    
    .dias {
      background-color: gray;
      padding: 5px;
      font-size: 13px;
      font-weight: bold;
      position: absolute;
      top: -5px;
      left: 35px;
    }
    
    .calen td {
      padding: 20px;
      position: relative;
    }
  </style>
  <body>
    <table class="calen">
      </tr>
      <tr>
        <td class="calen_td  " data-dia="1" data-month="11">1 </td>
        <td class="calen_td  " data-dia="2" data-month="11">2 </td>
        <td class="calen_td  " data-dia="3" data-month="11">3 </td>
        <td class="calen_td atual " data-dia="4" data-month="11">4 </td>
        <td class="calen_td  " data-dia="5" data-month="11">5 </td>
        <td class="calen_td  " data-dia="6" data-month="11">6 </td>
        <td class="calen_td  " data-dia="7" data-month="11">7 </td>
      </tr>
      <tr>
        <td class="calen_td  " data-dia="8" data-month="11">8 </td>
        <td class="calen_td  " data-dia="9" data-month="11">9 </td>
        <td class="calen_td  " data-dia="10" data-month="11">10 </td>
        <td class="calen_td  " data-dia="11" data-month="11">11 </td>
        <td class="calen_td  " data-dia="12" data-month="11">12 </td>
        <td class="calen_td  with_event" data-dia="13" data-month="11">13 <span class="dias">2</span>
        </td>
        <td class="calen_td  " data-dia="14" data-month="11">14 </td>
      </tr>
      <tr>
        <td class="calen_td  " data-dia="15" data-month="11">15 </td>
        <td class="calen_td  " data-dia="16" data-month="11">16 </td>
        <td class="calen_td  " data-dia="17" data-month="11">17 </td>
        <td class="calen_td  " data-dia="18" data-month="11">18 </td>
        <td class="calen_td  with_event" data-dia="19" data-month="11">19 <span class="dias">1</span>
        </td>
        <td class="calen_td  with_event" data-dia="20" data-month="11">20 <span class="dias">5</span>
        </td>
        <td class="calen_td  " data-dia="21" data-month="11">21 </td>
      </tr>
      <tr>
        <td class="calen_td  " data-dia="22" data-month="11">22 </td>
        <td class="calen_td  " data-dia="23" data-month="11">23 </td>
        <td class="calen_td  " data-dia="24" data-month="11">24 </td>
        <td class="calen_td  with_event" data-dia="25" data-month="11">25 <span class="dias">1</span>
        </td>
        <td class="calen_td  " data-dia="26" data-month="11">26 </td>
        <td class="calen_td  " data-dia="27" data-month="11">27 </td>
        <td class="calen_td  " data-dia="28" data-month="11">28 </td>
      </tr>
      <tr>
        <td class="calen_td  " data-dia="29" data-month="11">29 </td>
      </tr>
    </table>
  </body>
</html>
 
 
							
							
						 
A
whilethat makes queries to the database is probably not what you want, because it creates too much weight. Better to do 1 query that brings all the data and processes them all with onewhile.– Isac
@Isac You can give an example?
– I_like_trains