Mackay has also stated that he had no intention of leaving the club.
"Iain is an absolute class act as far as I am concerned. He has done a very impressive job for the football club. In one of the periods of success at the football club, he has had a huge part to play in the restructuring of my squad," Mackay told ITV Sport.
"One thing I would clarify, as I have read a few things over the past couple of weeks, is that we were absolutely under budget this summer. I want to clarify that. That is what I have to say about Iain.
"As far as I am concerned, again for clarification, under no circumstances was I asked to resign and at no time have I thought of resigning from the football club."
Cardiff travel to Chelsea on Saturday.