MacAnthony has been the subject of verbal abuse from fans upset with the club's poor start to life in the Championship and the sacking of manager Darren Ferguson.
"The bottom line is that if Darragh goes so does Peterborough United and that's something every single Posh fan should think very carefully about when they are next tempted to have a go at him," Fry told the Evening Telegraph.
"We are talking about a man who has pumped £10 million of his own cash into the club with £5 million of that going on the playing side.
"This club was dying under me and it will certainly die if the chairman gets fed up and leaves.
"Believe me he is not a happy man at the moment."