The actor has appeared in a host of major Hollywood films, including Ghostbusters and Lost in Translation, but he still finds it uncomfortable when he's recognised in the street.
He tells Britain's The Times, ""After a big film people in the street look at you with a strange hunger; mad, raw and terrifying. Not so much here (the U.K.), but in America it's like being in a steam room all the time. You have to hide away.""
Murray is adamant the problem is so intrusive he craves the chance to appear in smaller budget movies instead.
He adds, ""I like small movies like Moonrise (Kingdom). With big movies you have to be the 300lbs gorilla in the room. People expect that of you, and if someone's going wrong, you have to crack that egg for the director you're working for. You have to throw a fit because that's the expectation.""