The 34-year-old confirmed at the weekend that he had been contemplating hanging up his boots at the end of the season, having already opted to bring the curtain down on his international career following Wales' FIFA World Cup qualifiers.
But Mackay feels that the striker - who scored four goals in 33 league appearances in Cardiff's promotion-winning campaign last term - needs to delay his decision.
"I think the remarks from Craig about retiring from football have been made quite casually right now," he told WalesOnline.
"I don't think he's definitely made up his mind yet and that is a good thing. He has said he will retire from international football to spend more time with his family and everyone respects that after what he has given for Wales.
"I think with football in general though he has got to that point in his career when you do reflect upon things. You start to wonder what the future holds for you outside of playing. I had that very much myself too.
"But I think Craig has got time to consider that at the end of the season and make a decision."
Mackay made Bellamy his captain for their first season back in the top flight in over half a century, and the former Liverpool forward has started all three games, including a shock 3-2 victory over 2011-12 champions Manchester City.
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