Scotland finished top of the standings following the conclusion of the round-robin stage with eight wins and three losses but things have not gone their way in the play-offs.
After losing 6-5 to Sweden in the page one-two play-off they fell to Canada to end their hopes of following Scottish women's skip Eve Muirhead in claiming world gold this year.
Scotland took a 1-0 lead in the first end before Canadian skip Brad Jacobs hit and stayed with his second stone to score two points in the fourth for an advantage that he would not relinquish.
Murdoch levelled an end later but in the sixth Canada hit for three to make it 5-2 then added another point in the eighth before Scotland replied in the ninth but later conceded.
Canada now go on to face Swedish skip Niklas Edin in the gold medal game while Scotland face Rasmus Stjerne's Danish rink, who lost 8-6 to Jacobs in the page three-four play-off, in the contest for bronze.
Murdoch, who last won the world title in 2009 before Warwick Smith claimed bronze in 2010 and Tom Brewster silver in 2011 and 2012, said he is now determined to win bronze.
"Those guys played extremely well I have to say. They had a great game. They've got a bit of momentum and they've got the crowd behind them. They put on a good show," said Murdoch.
"We had a couple of chances, but it's just disappointing because we've had a great week. All the guys are playing well and I've been throwing the rock as good as I have done for a long time.
"We'll just have to come out [against Denmark], I don't want to leave here without a medal this week. I think we've been one of the best teams here and we're going to come out hard."
Jacobs, whose Canadian rink were one of three teams to finish on seven wins and four losses in the round-robin stage, said he feels invincible.
"We're in the world final. I think we lost four of our last six games in the round robin, but we've managed to scrape our way into the final and I think it says a lot about our character," said Jacobs.
"The way that this team has been able to park those losses and come out knowing what we're capable of doing, and then going out and doing it. It's just phenomenal.
"It's pretty crazy. But this is our team. We're grinders, and we don't like to do things the easy way, apparently. But we were taught at an early age to never give up and just play as hard as we can.
"That's what we did. I'm really proud of the guys for coming out and playing so great in front of me. It was a perfect day. I'm really looking forward to playing Sweden in the final.
"They're friends of ours off the ice and rivals on the ice. Hopefully it will be everything that everyone expects, a back-and-forth battle and a shootout. Hopefully both teams can provide that."
- Sports & Recreation
- Brad Jacobs