"I'm sure the fans will be [looking for revenge]," said Mackay, who watched the final as a pundit for BBC 5Live.
"Our fans obviously see Blackpool as a black mark in the back of their mind."
He added: "I'm sure we'll have a great little band of support going up to Blackpool on Saturday.
"Our away fans so far have been fantastic and we'll be doing everything we can to make them leave Blackpool with a smile on their face."
Blackpool boss Ian Holloway could call on defender Neal Eardley for the home clash with Cardiff.
The Wales international recently underwent surgery on a badly dislocated finger but played in a behind-closed-doors friendly against Middlesbrough in midweek.
He now looks set to come into contention to face the Bluebirds but left-back Stephen Crainey will hope to be available again after he missed last weekend's 2-0 home win over Ipswich due to illness.
Matt Hill deputised for the Scot while recent signings Daniel Bogdanovic and James Hurst may again be forced to settle for a place on the bench.
The Seasiders have collected 11 points from their opening six games and Holloway said: "I'm happy with what we've done so far."
Cardiff manager Malky Mackay will not risk new signing Ben Turner against Blackpool, despite the defender getting through a 75-minute stint for the club's development squad in midweek.
Turner, who has not played first-team football for more than 10 months, is recovering from ligament damage.
The £750,000 capture from Coventry had an operation in May and is closing in on a return to full fitness.
"I'd love to be involved in the Championship squad as soon as possible, but there's no point taking the risk of rushing back too quickly," Turner told the Western Mail.
"After such a long time out, I have to make sure I am completely ready."
Blackpool v Cardiff City
Bloomfield Rd, ko 3:00pm.
There will Twitter and Facebook updates during the game and reaction afterwards on this website and messageboard.