The 30-year-old, who is in his fourth season with the Lowland League club, said he made the decision to help others who wish to open up.
In an interview with the club website, Murray said: “(It) feels like the weight of the world is now off my shoulders.
“I also want to help other players who are struggling with this as it isn’t easy for men, especially footballers to deal with.”
In May, Blackpool midfielder Jake Daniels became the first active professional player since Justin Fashanu in 1990 to come out as gay.
Murray hailed the support he has received from team-mates at the club, for whom he holds the record for the most goals scored in a single season.
“The lads at the club have been so supportive,” added Murray. “I have a really strong bond with everyone at the club and I have been blown away by the support.
“Before coming out you think people will turn against you and you think the worst. It’s been lovely how much support I have had.”