Chances were few and far between for the Welsh outfit on Sunday as they fell to a late Paulinho goal - the Brazilian flicking home from Erik Lamela's pass to give Tottenham a 1-0 win.
When opportunities did appear for Cardiff they wasted them, and Mackay has warned his players that they needed to start making the most of opportunities on goal.
Fraizer Campbell and Aron Gunnarsson both missed great chances for the hosts, while Ben Turner saw a header ruled out for a foul on Hugo Lloris.
Mackay was unhappy with referee Mark Clattenburg's decision to disallow that strike, but he remained proud of his side's overall performance.
"The boys put in a magnificent effort against a very good team," he told reporters. "We matched a very good team toe-to-toe again.
"It's the harsh realities, they were clinical in the last minute and we weren't. I'm more disappointed in the disallowed goal that we had, Hugo Lloris is a very lucky man.
"It's Lloris that's got his hands on Gunnarsson, for me its a clear goal. And then in the last 10 minutes, Gunnarsson has got to do better, it's about being clinical."
Mackay reserved special praise for his goalkeeper David Marshall, who kept out all bar one of Tottenham's 29 shots on target.
Some of the 28-year-old's saves to deny Roberto Soldado and Christian Eriksen in particular were superb, but his manager expected nothing less.
"That's his job," Mackay added. "He's a top goalkeeper. I've seen him step up this season. He's come into the Premier League and gone from strength to strength."