The 21-year-old has made just 10 Championship starts this season but Mackay is determined to keep the Irishman involved for the final nine games as the Bluebirds look to reach the top flight.
"Half a dozen clubs have rung and asked for Joe on loan, but he is going nowhere," Mackay told the South Wales Echo.
"Joe, I'm sure, is frustrated that he hasn't started more matches. But he is learning all the time and I am excited about his future with Cardiff City.
"He is part of my first team squad and we need him here. There is no question - he is staying with us.
"He did a terrific job during his first season at Championship level and he has a big future with us here in Cardiff."
Mason is set to travel with his Cardiff team-mates for their away clash at Peterborough this weekend as they look to move closer to the Barclays Premier League.