The Scot looked certain to lose his job after receiving an ultimatum from controversial Bluebirds' owner Vincent Tan to resign, or face the axe.
The demand came in an email sent to Mackay by Tan on Monday in which he listed his grievances with the former Watford boss.
Mackay said in a press conference today that he had been left "deeply upset" by the email.
Mackay has stated on several occasions he will not resign and his departure looked imminent after the weekend loss at Liverpool, until chairman Mehmet Dalman released a statement on Sunday saying the 42-year-old would be in charge for the "forseeable future" while he tries to repair the fractured relationship between manager and owner.
Mackay said: "I did feel I was going to lose my job on the weekend.
"The email deeply upset me.
"I declined to resign and expected to be sacked over the weekend.
"To give the fans a clap (at Anfield on Saturday) was something I wanted to do for the support they had given me."
While Sunday's statement earned Mackay a reprieve of sorts, it also suggested his future will depend on whether there can be any sort of reconciliation between Tan and he.
That would be a big surprise given the ill-feeling between the two men following Tan's removal of Iain Moody as his head of recruitment in October, as well as the Malaysian's apparent fury at Mackay's hopes of adding to his squad in January and the incendiary email of last week.
Mackay admits he is not sure if and when he and Tan may meet after revealing two requests to meet for talks had already been rejected.
"I wanted that meeting to be today but that was declined. If not today, then tomorrow but that was also declined," he said.
He added: "I don't know if we can talk. Mehmet has been trying to do this for three months, as have I.
"There are certain areas that have to be addressed that were in the email. I will find out when I go to the meeting.
"At that point I will take stock of where I am."
Mackay also had praise for Dalman. The Cardiff boss has come to count his chairman as a close ally in recent months.
He said: "Mehmet is a good man and a sensible man. But he's not the man who makes the decisions. Ultimately he will not make the decision. That still has to be addressed.
"There is no more pressure on me now. The team are working so hard and have come up with reasonable performances and good results.
"I'm proud to be the manager here and I think I should be the manager here.
"I will keep doing what I'm doing and if someone wants to do something different that's up to them."