The Welsh outfit lost 5-0 over two legs in the playoff semi-final against West Ham United, having been edged out on penalties in the Carling Cup final to Liverpool earlier this year.
Asked how he felt after the game, Mackay told Sky Sports News: "Obviously disappointed. Like everything you go into every game trying to win it and get to the final but I've got a lot to be proud of them [for].
"Congratulations to West Ham and their victory - well deserved. But we've ended up looking like a team that's played an extra quarter of a season - 55 games.
"But it's one of those things. We've been on a good journey this season and I've very proud of the group I've got in there."
Monday night's exit was the third successive season that Cardiff have lost in the playoffs.