Whittingham has two years still to go on his Bluebirds contract but has been linked with a move away from the club this summer.
Premier League new boys Norwich have been credited with an interest in the midfielder, while Championship rivals Leicester and Portsmouth are also reported to be keen.
Mackay can understand the transfer talk but has no intention of letting the 26-year-old former Aston Villa player leave.
"Peter Whittingham is a fantastic player and someone I admire," Mackay said in the Daily Star.
"Why would other clubs not look at him?
"But he's a Cardiff City player and he is staying as a Cardiff player.
"He is central to my plans."