The Bluebirds were making their first top flight appearance in more than 50 years at Upton Park, but the occasion appeared to get the better of them.
Mackay was reluctant to offer stage fright as an excuse at the final whistle, but admits his side must take important lessons from a 2-0 reversal in the capital.
He told Sky Sports: "I don't know if it was the weight of expectation, but we certainly started slowly.
"We knew that we were going to be up against a good team today, an experienced team that were playing in front of their own fans in a big atmosphere.
"For the first 10-15 minutes when they scored their goal, and it was a clinical goal, we certainly started slowly. I thought after that, for the next half an hour, we were excellent.
"We probably took that into the second half and for the first half an hour of the second half we had plenty of the ball and at times looked quite good.
"It's about being clinical. They had one (chance) in the second half, we had one in the second half, and they scored and we missed ours.
"Overall, I can't be too hard on my players because I thought they played well."
Pressed on whether he is planning to dip back into the transfer market before the summer window closes, with Cardiff reported to have money to spend, Mackay added: "You have got to spend it in the correct manner, you have got to spend it on certain players.
"If a good player comes up then we might have a chance. But it's not just about spending money, it's about making sure we spend at the correct time and the correct man comes in here, and we're competing with huge teams for that."