Their opponents were well organised and could have snatched a win through Guirane N'Daw's curling effort that hit the woodwork.
Despite that, Cardiff stretched their lead at the top of the Championship to eight points.
Mackay said: "We were playing against a team who are right at the top of the form table with a new manager and some new players coming in. They'd only lost two in 10 so if we had not worked as hard as them then we'd have been beaten.
"For us to come out with another clean sheet, our fourth in five games, on the back of 13 points out of 15 I'm delighted.
"I think you can always hope you can create more chances. We created 20 attempts on their goal but it is the clinical nature of that final pass that was missing.
"The conditions were pretty poor in terms of the wind and the rain and I think both sides struggled with that at times."
It took Cardiff 27 minutes to create a real chance, Mark Hudson missing the first of two first-half headers in a match short on quality.
Craig Bellamy and Aron Gunnarsson both had second-half chances to extend Cardiff's lead at the top of the table but couldn't find a way through.