The 18-year-old from Scotland pulled up with a damaged left hamstring in the second set of his quarter- final against Xavier Malisse, of Belgium, in the Ethias Trophy Challenger event in Mons.
Malisse, ranked 30 places above Murray at No 42 in the world, was leading 7-5, 1-0 at the time. Murray started the match well and had taken a 5-3 lead.
"It's disappointing," Murray said: "In the second game I felt something in the hamstring. It was better to stop rather than risk serious injury. My body is rather tired after five matches in Bangkok after the Davis Cup and three matches here.
"In fact, I've been busy since Wimbledon. This was a big match for me, but it became difficult stretching for the ball."
Murray, who felt a tweak in his right thigh during his match on Thursday against the Frenchman Gregory Carraz, will have the injury examined on his return home. Malisse now plays a compatriot, Kristof Vliegen, for a place in the final.
Roger Federer has more records in his sights as he prepares for an assault on the year's concluding tournaments. The 24-year-old from Switzerland, who defeated Murray at the Thailand Open last Sunday for his 11th title of the season, has a crowded diary.
After training next week, he will spend three weeks on the road competing at the Masters Series events in Madrid and Paris, and attempting to win his home championship in Basle for the first time. He will then head off for the eight-man Masters Cup in Shanghai.
There are several ATP Tour milestones for Federer to pass en route. He is on course to break John McEnroe's 21-year-old best match record in a season. In 1984, McEnroe compiled a win-loss record of 82-3 (96.47 per cent) with 12 titles. Federer currently is on 77-3 (96.25 per cent) with 11 titles. The last player to win 12 titles in a year was Thomas Muster, of Austria, in 1995.
Federer has a winning streak of 31 matches. The last player to win more was Muster (35) in 1995.
This is Federer's 88th week as the world No 1. The last player to reign for more than 100 consecutive weeks was Pete Sampras (102) in 1998. Federer will pass Sampras in third place for the most consecutive weeks at No 1 when he clocks up 103 in 16 January 2006.
Guaranteed the top spot, Federer is the fifth player to rank No 1 every week during a calendar year since ATP rankings began in 1973. The four others are Jimmy Connors, Ivan Lendl, Sampras and Lleyton Hewitt.
Federer's 22 titles in 2004-05 are the most in back-to-back years since Lendl won 22 in 1982-83. Federer's match record in 2004-05 is 151-9 (94.375 per cent).
The Wimbledon women's champion, Venus Williams, has withdrawn from next week's Kremlin Cup in Moscow with a knee injury.
* The Madrid Masters has restored its doubles tournament on hearing that the doubles players and the ATP Tour will meet next week to discuss the law suit brought by the doubles players against the governing body of the men's tour.