Following another camapign in which the Bluebirds failed to gain promotion to the Premier League, reports had linked the midfielder with a move to the top flight.
However, manager Mackay has insisted that he is not looking to sell any of his important squad members.
"I totally believe Peter Whittingham will be a Cardiff City player next season," he told Wales Online. "He has only just signed a new contract and he has two years left on that, so I don't expect him to be going anywhere.
"We have had no interest in him and, anyway, I'm not in the business of giving away our best players.
"As I have said from the moment I arrived here, I'm about adding to my squad and making it stronger, not making it weaker by selling our important players."
Whittingham joined Cardiff in 2007 from Aston Villa.