The 27-year-old was up against world number 46 Santiago Giraldo in the third round but had no answer to the Colombian as he lost in straight sets 6-3 6-2.
Murray is still without a coach after splitting with Ivan Lendl, the man that led him to US Open and Wimbledon triumphs as well as singles gold and doubles silver at London 2012 during a two-year partnership.
But Murray believes his problems are all of his own making and refused to blame a lack of coach for his premature Madrid Open exit.
"My coach is missing, that's quite a big part of my team," he said. "But, you know, even when I was working with Ivan, I didn't necessarily play my best tennis here last year or at certain periods.
"It's tough, because some days just now I'm playing well, and then the next day I'm not playing well at all.
"Sometimes in matches I'm playing really well for periods, and then other times not great at all. So I need to become more consistent.
"My best tennis or my sort of base level has to stay the same for a lot longer. It's not necessarily a case of going out there and practising loads of stuff on the court. I need to be mentally stronger and mentally a bit more switched on for longer periods in matches.
"I'm not 100 per cent sure what the problem is. But, again, I need to sit down and think about that the next couple of days and see what I need to do."
- Sports & Recreation
- Ivan Lendl