The midfielder, one of the best in the Championship, signed a new long deal in the summer. He starts his 250th game for City tonight.
"Peter has signed new contracts since I've been at the club, in the summer signing a new long-term deal with Cardiff City, outlining his ambitions for this football club," said Mackay.
"It's nice when clubs take interest in your players, but he's certainly not going to be going anywhere in January, that's a promise.
"I was very strong in my views to our owners in terms of us building a team to challenge and for that our best players need to be here, of which Whitts falls into that category.
"But at the same time he's got to feel it's the right environment for him, to feel wanted and to be enjoying his football as a part of something that's growing. That was something I was keen to show him was certainly the case."