The 33-year-old believes his manager will stay at the club for the foreseeable future despite speculation over a move to another Premier League side following promotion
The Bluebirds boss had been linked with the likes of Everton and Stoke City after guiding the Welsh outfit to the Premier League.
However, the 33-year-old expects the Scotsman to remain with Cardiff for the foreseeable future despite interest from other clubs.
Bellamy told BBC Sport: "By getting the club up, it wouldn't make sense to him or anyone else to then leave for somewhere else. I am sure he is here for the long run as well.”
Mackay was touted as a possible successor to both David Moyes at Everton and Tony Pulis at Stoke City, with the former position expected to go to Roberto Martinez and the latter already filled by Mark Hughes.
Bellamy believes it is a good thing the Scot has been linked with these clubs as it is testament to his ability.
He continued: "Being linked [with other clubs] is just a great compliment, not just for the manager but the players too. Everybody wants to be linked because it means you are doing something right.
"I am sure he is fully aware of the job he has here. This is a club on the up but it is going to be a tough year, there are no two ways about it."
Bellamy and Mackay were team-mates at Norwich City when the Welshman was just beginning his career, and says the 31-year-old has been a great person to work with in the last 12 months.
Bellamy added: "He has been remarkable for me as a person throughout the whole season. I speak to him a lot, not just for playing, but personal stuff as well.
"He has been outstanding, he really has. I knew him as a player, I played with him and to watch him evolve and become a manager has been brilliant. He has been such an asset to the football club and it's been good to watch it."