The Scot's position has come under question after he was criticised by owner Vincent Tan for revealing his January transfer plans without asking what funds would be made available.
That led to Mackay being denied a budget for the winter window and follows the departure of head of recruitment Iain Moody, who was replaced an unknown friend of Tan's son in October.
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"This is a guy who walked into Cardiff after they had lost in the [Championship] play-off semi-finals and they waited two weeks to sack the manager Dave Jones on the day we [Swansea City, Rodgers' old side] 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 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.
"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.
"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."