"I'm here to improve this football club," said Cardiff boss Mackay.
"And bring players into the club, not sell them.
"We had an approach in terms of a call. Peter Whittingham is not for sale."
Whittingham's impressive displays have helped propel Cardiff into the top six.
The 27-year-old said earlier this month that he would have
if the Welsh club rejected offers for him when the January transfer window opened.
Interview: Cardiff City goalkeeper David Marshall
Whittingham has scored seven league goals and made seven assists this season, emphasising his importance to Cardiff's Championship play-off push.
The 2002 FA Youth Cup winner with Aston Villa joined
Cardiff in a £350,000 deal
in January 2007 and quickly established himself as one of their key players.
But having spent a number of seasons on the left-wing, Whittingham has impressed in a central midfield role this season under new manager Mackay.
Former Cardiff boss Dave Jones admitted in November that the club had a few "sniffs" for Whittingham from Premier League clubs during his reign last season and said he thought Cardiff's resolve to keep their man
would be severely tested in January
West Ham are second in the Championship table, just three points behind leaders Southampton, and looking to get back into the Premier League at the first attempt following their relegation last season.
"If you're not getting calls and not getting interest in your players then that tells its own story," added Mackay.
"I'm here to grow Cardiff City, not wreck it. And our chairman and directors feel the same way."
Cardiff have rejected previous offers from
for Whittingham, regarded as one of the best midfielders outside of the Premier League.
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