Former Wales striker Roberts spent six years playing alongside Mackay at Norwich, and has been amazed by the latest off-field strife to hit his old colleague's efforts to keep Cardiff in the Barclays Premier League.
Following Saturday's win over West Brom, which moved Cardiff four points clear of the drop zone, Mackay had said he was hopeful of signing three players during the January transfer window, but was waiting for the board to make a final decision on funds.
Chief executive Simon Lim responded with a statement which claimed Tan was "extremely upset" at Mackay's comments and that "not a single penny" would be available in January due to an alleged £15million overspend in the summer.
The statement claimed this overspend was the reason behind the departure of Mackay's head of recruitment Iain Moody in October.
But Roberts, who works as a pundit with BBC Radio Cymru, cannot fathom Tan's attitude.
"I saw the comments where it was said that Vincent Tan was 'extremely upset'", he told Press Association Sport.
"But what has he got to be upset about? It's astonishing.
"It looks like Malky is doing everything he can to keep Cardiff up, and Vincent Tan is doing all he can to make sure they end up back in the Championship.
"The talk about a £15million overspend and Iain Moody is a nonsense. You get £90million for reaching the Premier League and you get that and more if you manage to stay up.
"They had to strengthen the squad and they have had to spend a lot to try and keep out of the bottom three, and they have succeeded in that as they have spent very little time in there this season.
"You get the feeling Tan just wants Malky to walk, but Malky will not do that."
Roberts believes the only way the situation can be resolved for the better is for Tan and Malky to sit down and thrash out their differences, but admits that is not an outcome he is expecting.
He said: "It is a shame they cannot sit in a room and outline what they want for the club's future and try and find a way forward. I am sure Malky would want to do that.
"I suppose there are three things that can happen. Malky will decide enough is enough and leave, he will be sacked or, and I think this is what Tan would like, another club looks at Malky's previous record with Cardiff and Watford and decide to make him their new boss."
Mackay has vowed he will not resign from his position as he wants to ensure Cardiff become a sustainable top flight club.
The 41-year-old has shown dignity in dealing with the difficult situation he has been faced with, whilst trying to ensure his side find the points to keep them up.
Roberts believes the Scot's mental strength serves him well in such testing circumstances.
He said: "Malky will just focus on preparing the players as best he can. We know in the modern game you can't always plan for three or our weeks down the line - look at what has happened to Steve Clarke and Andre Villas-Boas - but he will just concentrate on facing Liverpool and trying to get a result.
"I played with Malky for six years and he was a genuine guy, a real grafter and he never let anybody down and, if anything, this situation can bring him, his staff and his players closer together and create a siege mentality which may benefit them."