The visitors took a shock early lead at Stamford Bridge through Jordon Mutch, but conceded an equaliser when Samuel Eto'o illegally dispossessed David Marshall when the goalkeeper had possession of the ball and Eden Hazard struck.
Mackay, whose side next play Norwich, was at Watford when Reading were awarded a goal in September 2008 by referee Stuart Attwell despite the ball going well wide of the Hornets' net.
"We were on the end of the ghost goal, when the ball didn't even go in the net," Mackay said.
"I was first-team coach. I was standing watching that not happen.
"The following week you're back at it and you're just playing the following team and it's completely different.
"It's not something that ever gives that much of a hangover.
"We get up and get on with it. There's no hard luck stories here."
Despite being on the receiving end of the unjust episode at Stamford Bridge, Mackay will not be calling for television replays to be introduced.
He added: "It's not a set-play game. It's not like American football.
"It's a free-flowing game. Where do the replays come in? At what point do you stop?
"Eventually there might be (replays), but at least we've got goal-line technology. It's only taken about 10 years for that to happen."
The Scot will, though, ask officials' chief Mike Riley for clarification of the incident when Anthony Taylor allowed Hazard's equaliser to stand after approaching the match officials in the immediate aftermath of the match.
There was no great protest from the Cardiff players when Eto'o stuck his foot out to take the ball from Marshall, but that was because they had to react and defend, Mackay insisted.
He said: "You've got to keep playing on. If we'd stood and watched it that would've been sacrilege."
Mackay disputed Chelsea's claim that Cardiff were time wasting, insisting the four minutes added time at the end of the match were correct.
Jose Mourinho was so furious he was sent to the stands.
"He certainly wasn't ranting at me," Mackay said.
If anything, Mackay had more of a reason to be frustrated, following the equaliser and a challenging international break in which his head of recruitment Iain Moody was replaced by 23-year-old Kazakhstani Alisher Apsalyamov on an interim basis.
"I'm calm," Mackay said.
"I'm the leader of a group, a great group of people.
"We've been building something here for two and a half years and it's three quarters done.
"I've got a great pride in the staff that work for me and the players that work for me. Things that are within my control, invariably, are calmly dealt with."