The Hornets have lost Tamas Priskin, Tommy Smith, Jobi McAnuff and Mike Williamson and were unable to bring in reinforcements before the window shut on Tuesday.
"It was a long and busy day, and transfer window as a whole, but unfortunately we were unable to bring in the players we wanted and that's frustrating," said chairman Jimmy Russo.
"But we're now already looking towards the emergency loan window opening and further still to the January window.
"We certainly haven't finished our activity for the season."
Mackay echoed his chairman's sentiments when he added: "We had a lot of business going on but none of it actually came to fruition but a lot of markers have been put down for once the loan window reopens," he said.
"Ideally I want to get permanent signings into the club but when you're in a limited market in terms of the budgets we have it's easy to be sucked into making a drastic mistake just purely because you want to get a signing in.
"That can then be regretted at your leisure and you are left with someone potentially for the next three years."