Whittingham signed a new three-year contract with the Championship leaders in August following interest from the Premier League, with Fulham reported to be among the clubs keen on the 28-year-old.
With the former Aston Villa youngster having scored seven goals already this season, speculation has claimed that top-flight clubs will again be in for Whittingham in the New Year.
However, Mackay is not worried about losing Whittingham and wants him to be part of the club's continued bid to reach the Premier League.
"Peter has signed new contracts since I've been at the club, in the summer signing a new long-term deal with Cardiff City, outlining his ambitions for this football club," said Mackay.
"It's nice when clubs take interest in your players, but he's certainly not going to be going anywhere in January, that's a promise.
"I was very strong in my views to our owners in terms of us building a team to challenge and for that our best players need to be here, of which Whitts falls into that category.
"But at the same time he's got to feel it's the right environment for him, to feel wanted and to be enjoying his football as a part of something that's growing. That was something I was keen to show him was certainly the case."