Cardiff visit Anfield today after a week in which there has been speculation about Mackay's future following a public row between him and Tan over transfers.
Cardiff's first season in the Barclays Premier League has also been disrupted by the sacking of head of recruitment Iain Moody, who was replaced by a friend of Tan's son with no football background.
Former Swansea manager Rodgers said: "I find it incredible all the talk about Malky, who I know well from working with him at Watford.
"I find it astonishing what he has had to go through.
"This is a guy who walked into Cardiff after they had lost in the play-off semi- finals and they waited two weeks to sack the manager Dave Jones on the day we (Swansea) were in the final - which I found strange.
"Malky walked into the club with 10 players that summer and he totally transformed the mentality of the club.
"He took them to the Carling Cup final, to a play-off place and just lost out and the following season took them to the championship and promotion.
"He has had great results this season and is going to go on and be a great manager at a big club and I find it absolutely astonishing there is talk about him leaving there."
Rodgers added: "I worked with Iain Moody at Watford, one of the most authentic people you could ever meet.
"My only conclusion is you have a business guy operating the club who knows absolutely nothing about football.
"He has obviously been a successful businessman - congratulations but football is like no other business.
"When I see what Malky has had to put up with, to see him being questioned I find it remarkable.
"Especially when supporters there look up to him and respect him for what he's done."