Malky's post Northamption reaction
"We knew it would be a tough game and an even tougher one with the international call-ups and having to play on Friday," he said.
"It's great for the club to have international players but you just hope they come back without any injuries.
"We want to win every game we play but if it wasn't us going through tonight then I'm glad it's Aidy Boothroyd's side."
Cardiff reached last season's League Cup final, where they lost to Liverpool at Wembley on penalties.
Defeat at the Sixfields Stadium was the first time Cardiff had lost in the League Cup first round for six years.
After exiting the League Cup at the first-round stage, Cardiff open their Championship campaign at home to Huddersfield on Friday.
Despite the defeat, Mackay was delighted to see summer recruit Helguson get off the mark on his competitive debut.
"We know Heidar Helguson can score goals and that's why we brought him in but he needs more time on the pitch," said Mackay of the former QPR player.
"We still need to bring in a few more players before the transfer deadline.
"It's important to get off to a good start against Huddersfield on Friday and that's what we must look forward to now."
Related Cardiff City News