Mackay had been keen to sign the French midfielder and even agreed personal terms with Capoue after Toulouse accepted a bid of around £9.5m.
But the 25-year-old has opted to join Tottenham instead and Toulouse president Olivier Sadran has admitted Capoue is close to securing a switch to White Hart Lane.
When asked about Capoue, Mackay said: "We had a bid accepted but it looks as if he has decided, as far as I am aware, to go to Tottenham.
"It looks like it will go that way."
Mackay has been working hard to strengthen his squad ahead of their return to the Premier League and the club's transfer record has been broken twice to bring in striker Andreas Cornelius and England defender Steven Caulker.
Cardiff are expected to spend more as they have been linked with Peter Odemwingie and Jefferson Montero, but Mackay is willing to wait up until the last day to clinch the best deals.
"With the targets we want invariably there is also competition or clubs don't want to sell," said Mackay.
"We signed five in the last week of the window last year and we have brought in around 25 players to the club over the last two years, so we are well versed in the mechanics of how this works and the patience you sometimes have to have.
"Sometimes things happen quickly, like the Steven Caulker deal, other times it can be more protracted.
"We have some plates spinning at the moment, if it will take until September 2, then that is what it will take."