The 25-year-old has struggled to play regularly for the Black Cats this season after finding himself below Steven Fletcher in the pecking order.
"We are interested in the player," Mackay told reporters. "We are in discussion with Sunderland. They have put a price on the player and it is something we have to discuss with the club."
Campbell earned his first England cap last year after recovering from two knee injuries that kept him out of action for 18 months.