Murray's moment to forget in the second half means the Eagles have now not found the net for 485 minutes, stretching back more than five npower Championship matches.
It is hardly the sort of form they want to take to Old Trafford for the small matter of their Carling Cup quarter-final with Manchester United on Wednesday.
Boss Dougie Freedman has drafted in Chris Martin on loan in a bid to pep up his misfiring attack.
But despite the best efforts of the Norwich striker, Murray and Wilfried Zaha, they could not break down stubborn Millwall.
They should have taken the lead in the sixth minute but Murray set the tone for the afternoon by missing a gilt-edged chance.
The frontman just had to tap Dean Moxey's low cross in at the far post but somehow failed to make contact with the ball.
Moments later the hosts had their first penalty appeal waved away when referee David Webb ruled Jack Smith's clumsy challenge on Sean Scannell was just outside the area.
Murray could have had a hat-trick by half-time, but he volleyed Mile Jedinak's cross weakly at Steve Mildenhall and then had an overhead kick superbly kept out at full stretch by the Lions keeper.
Murray almost turned provider just before the break when he played the ball back into the path of Jedinak but the Australian missed the target.
Jay Simpson went closest for the Lions in the first half when his shot was saved by Julian Speroni, and Nathaniel Clyne cleared the danger before John Marquis could reach the rebound.
The game was held up briefly at the start of the second half when a couple of Millwall fans thought it would be a good idea to hurl plastic bottles onto the pitch towards the Palace players.
The Eagles were still in the ascendancy, though, and teenage winger Zaha was next to try his luck, out-stripping Smith before crashing in a shot which Mildenhall palmed away.
Palace were screaming for a penalty again when Nathan Baker tripped Zaha but moments later, in the 72nd minute, referee Webb finally relented and pointed to the spot.
Paul Robinson was adjudged to have climbed on Eagles skipper Paddy McCarthy and Murray stepped up - only to slice his effort horribly wide.