He has previously stated he would be happy to stay at Vicarage Road and Mackay is hoping that, once he has finalised his contract situation with the Gunners, he can sign an extension at Watford.
"We have a good relationship with Arsenal and we are discussing it with them," Mackay told the Watford Observer.
"We are hoping that once Arsenal and Henri's situation finishes then he comes back for the second half of the season.
"I think he enjoys being here and his game has improved since he has been here. He has had a taste of Championship football and is enjoying it, so it is an environment where he wants to be in and we want him here as well."
Both Lansbury's and Helguson's loans run out after Monday's game at Bristol City and Mackay also aims to keep the Queens Park Rangers striker.
He added: "Heidar is a player who has had a great impact for us and I think he enjoys being at the club and the people enjoy him being here.
"We have had constant discussions with QPR and they have had a change of manager there, so that will come into the equation as well, but we are talking to them about extending Heidar's loan."