Cardiff had more than held their own until 14 minutes from time when Leandro Bacuna curled home a brilliant free-kick before Libor Kozak headed a late second.
"I was delighted with how we were playing, I thought we had come up here and had a lot of possession of the ball and we kept Villa to long-range stuff," he told Sky Sports.
"I thought we were really comfortable but obviously goals change games and free-kicks at this level, certain specialist players can do that and he did."
Mackay refused to point too much blame at Chilean midfielder Gary Medel, who hauled back Bacuna to give him the free-kick.
"I suppose we were on the attack and someone pulling someone back, the lad was probably going to run in to defenders and players learn but take nothing away from the free-kick, it was a top goal," he said.
"They then got men behind the ball and we had to try and press and get in the game again, but up to the goal we were good value.
"I thought the way we played up to that point at Villa Park we can take pride from.
"Overall the performance today was good and to come to places like this and to play like we did, if we do that over the course of the season we will be fine."