The Welsh side sit top of the Championship, despite a recent run of form which has seen them take four points from a possible 16.
Whittingham has been criticised by some fans in recent weeks, but Mackay has insisted that he will ignore calls to rest the former Aston Villa midfielder.
"Peter is among the best players in his position in Championship football," the Cardiff boss told Wales Online.
"He is and will continue to be one of the first names on my team sheet. Other Championship teams would like it if they saw he was not in our starting lineup.
"That would give the opposition a lift and that's not something we wish to do."
Whittingham has scored seven goals in 34 appearances for Cardiff this season.