The Scot's position has come under question after he was criticised by owner Vincent Tan for revealing his January transfer plans without asking what funds would be made available.
Head of recruitment Iain Moody also left the club in October to be replaced an unknown friend of owner Vincent Tan's son, and Mackay was told earlier this week he will not be given any transfer funds next month.
Mackay was responsible for getting Cardiff into the Premier League and Rodgers is amazed with the manner in which he has been treated.
"I find it astonishing what he has had to go through," Rodgers said ahead of Liverpool's clash with Cardiff on Saturday.
"This is a guy who walked into Cardiff after they had lost in the play-off semi-finals and they waited two weeks to sack the manager Dave Jones on the day we (Swansea) were in the final - which I found strange.
"Malky walked into the club with 10 players that summer and he totally transformed the mentality of the club.
"He has had great results this season and is going to go on and be a great manager at a big club and I find it absolutely astonishing there is talk about him leaving there.
"I worked with Iain Moody at Watford, one of the most authentic people you could ever meet. My only conclusion is you have a business guy operating the club who knows absolutely nothing about football.
"When I see what Malky has had to put up with, to see him being questioned I find it remarkable, especially when supporters there look up to him and respect him for what he's done."
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