"Last night after dinner here in Indian Wells, I got back in the car to go back to the hotel and the car didn't smell great," he said.
"I'd left my tennis shoes in there. It's been like 38-39 degrees so the shoes are damp, sweaty and smelly.
"I decided when I got back to the hotel that the shoes needed some air, I needed to dry them out a little bit.
"I have no balcony in my room and didn't want to leave them in my room because it would stink the room out.
"So I thought I'm going to leave the shoes underneath the car to get some air to them and dry them out overnight."
When his shoes were nowhere to be seen the following morning, Murray was initially frustrated he had to buy a new pair from a local tennis shop.
"When I got back to the car in the morning the shoes were gone," he said.
"I had to go to a local pro shop to buy different shoes to what I normally wear — different brand and everything — which isn't the end of the world but obviously not ideal.
The 34-year-old didn't realise a more valuable item was gone until his physio noticed his wedding ring was missing.
"I was preparing for my practice when my physio said to me, 'Where's your wedding ring?' And I was like, 'Oh no'.
"I basically tie my wedding ring to my wedding ring to my tennis shoes when I'm playing because I can't play with it on my hand.
"So yeah, my ring has been stolen as well."
Murray asked his fans for advice to help him track down the lost wedding ring.
"Needless to say I'm in the bad books at home so I want to try and find it," he said.
"If anyone can share this or may have any clue where it may be, it would be very helpful so I can try get it back."
Indian Wells starts on Friday morning, with Murray to take on France's Adrian Mannarino in his first round match on Saturday.
