The defender was a member of the side which endured the pain of a penalty shoot-out defeat as Belarusian side Minsk progressed.
That result was made especially hard to take since the Perth club had registered an unexpected victory over two legs against Rosenborg in the previous round. Indeed, St Johnstone won away from home 1-0.
A defeat at home to Minsk - after winning the first leg by one goal - proved to be equally hard to take, with the mood of the St Johnstone players hardly improved when their opponents rounded on them to gloat on their way off the pitch. It is an experience which the Perth club do not wish to relive when they host Lucerne of Switzerland in the second leg of a second qualifying round tie tomorrow night.
"The Minsk game was a bad one because we shouldn't have been beaten by them," said Mackay, whose side drew against Lucerne last week. "Their behaviour was bad enough but what really got to us was going out to such an inferior team. Looking back, we should have absolutely hammered them on the night and been through to the next round.
"We were in an unbelievable position after winning the away game and we didn't see it through. We had loads of chances, their keeper pulled off some great saves and with the referee being the way he was nothing went our way really. So being annoyed at the end was a culmination of all that.
"I was so frustrated to miss the first penalty, get back into it and then go out of the competition to a team who were pretty poor. But you have to learn from these things and we know we're nowhere near going through to the next round at the moment."
The tie is poised at 1-1 - Steven MacLean scored for St Johnstone - and Mackay is satisfied to have taken the slight advantage of an away goal back to Perth. "Drawing away from home is good but this is going to be a tricky game," he added.
"And the lesson we have to take from Minsk last season is that at this level you have to take your chances. If you can score early on then it settles you down and you are in a strong position to see it out."
Tommy Wright, the St Johnstone manager, acknowledged that a goalless draw will be sufficient for his side to progress. However, he will still encourage his players to attack the Swiss tomorrow, not least given that striker Stevie May has recovered from injury in time to feature.
"It's set up for a cracking game. We'll have to perform at our best to go through," added Wright. "We've done ourselves no harm at all with the away goal and that means 0-0 is good enough for us on the night. We can't be too overcautious but our lads have learned from being in Europe the last few years."