The England Under-21 international was the subject of a bid in the region of £3m from Tottenham on transfer deadline day but the Coca-Cola Championship club flatly rejected the offer.
And Loach turned in another impressive showing as his early save from a Chris Morgan header provided the foundation for Watford to go on and earn a battling 3-0 victory over Championship play-offs contenders Sheffield United.
Mackay said: "There was a lot of speculation and distractions around Scott yesterday but he realises the benefits of staying here and playing regular football and he was outstanding again.
"This is his first full season and he is improving every week.
"I made my feelings clear about keeping Scott and I was not put under any pressure to sell him. So given the recent financial situation at this club that is credit to the board, but also credit to Scott, his family and his advisors.
"He is aware of what will come his way in the future but he understands that he needs to stay here for the time being and his attitude is first-class."