The Welsh outfit lost 5-0 over two legs in the playoff semi-final against West Ham United and have now been dumped out of the playoffs for the last three successive seasons.
"We're certainly going to try and improve the football club again," Mackay said.
"There's great strides been made this year on and off the pitch and I'm certainly going to be trying to push this again to make sure we get even better.
"A lot of people rely on me to lead this football team and this football club, that being the case that work has started already. We'll be trying to plan out the coming months ahead."
West Ham will now face either Birmingham City or Blackpool in the playoff final at Wembley.