Both Championship clubs are just two matches away from a final at Wembley against either Manchester City or Liverpool.
Despite the glamour of what awaits the winner, Mackay has demanded that his squad concentrate on their performances against Palace.
"We are conscious that we are one step from going to Wembley, but there is a huge focus on the team that sits in front of us," he told Sky Sports News.
"They want to do the exact same as us and if we don't focus fully on that, then we would be foolish."
The first match between the sides will be played at Palace's Selhurst Park.