French club Toulouse have accepted a £9.6million bid from the Bluebirds but the 25-year old midfielder is believed to be waiting for offers from bigger clubs before committing to the newly-promoted Premier League side.
"It's pretty delicate right now," said Mackay.
"We're in constant dialogue and negotiations but it's something that's on-going."
He added: "When you are in for good players there will always be competition. If we were the only club in for a player perhaps it would be a worry." It is believed that Spanish outfit Atletico Madrid are also showing considerable interest in Capoue who has represented France on six occasions.