The 31 year old forward is out of contract with the Latics in the summer and has been the subject of numerous transfer rumours over the past few weeks.
“There have been four or five enquiries on Shaun,” admitted Mackay to the Wigan Evening Post.
“One bid has been rejected, and we will play that by ear. It will be a club decision, but I have to say he has been excellent as a professional.
“He has massive quality, but he has six months left on his contract, it’s frustrating. There’s not much I can do about that. It’s something that may be out of my control.
“Obviously I want to keep my best players but that is not always something you can do.”
Former Latics manager Roberto Martinez, now with Everton, is believed to be one of the possible interested parties.