Mane, 27, has enjoyed comfortably his best season in senior football, scoring 22 times in the Premier League to finish joint top-scorer in the division alongside team-mate Mohamed Salah and Arsenal's Pierre-Emerick Aubameyang.
The Spanish capital could be where Mane plays his football permanently next season if reports of Los Blancos' interest is genuine, though Murphy does not think fans need to worry, particularly if they become European champions for a sixth time.
Murphy told Omnisport: "I don't think they are in danger of losing him and, to be honest, I think he's happy.
"He's loved, he's scoring, competing for trophies. I know there's been links with Madrid, but I just don't see him going or wanting to leave where he is, where he is doing so much good and playing so well and is loved.
"Never say never with anybody, but, at the moment in terms of what he's done this season, would he be a bigger miss than [Philippe] Coutinho? Yes, he would, because his numbers are bigger, he's more productive and scores more goals. He's more of a threat.
"He's been brilliant this season. He really has moved on again from last season. He's stood up and been counted when so many people probably didn't expect him to compare with the likes of Salah in terms of his goalscoring exploits.
"Ideally, if you win, it's easier to keep a player when you're champions of Europe, I get that. Why would you want to leave?
"But I just don't think any of them are in that space at the moment, things are so good. Everyone's playing so well and there's a nice togetherness, so I don't see that being a problem, but of course it would help if they won [the Champions League]."
Spurs defied the odds in reaching the Champions League final, particularly in their dramatic ties with Manchester City and Ajax – a last-gasp Lucas Moura goal securing a three-goal comeback against the latter.
Son Heung-min, Lucas and the fit-again Harry Kane have all impressed in the competition, though Murphy is adamant Liverpool do not need to be hugely worried about Spurs.
"I think it's more the other way around," Murphy, also an ex-Spurs player, said. "I think for Liverpool, if they carry on playing with the same intensity, momentum and confidence that they have been, Tottenham will be more worried about Liverpool than Liverpool will be about Tottenham.
"Liverpool have beaten Tottenham a lot over the last few years. They've only lost once to them in the last six or seven years, which is not a great record when you when you look at it.
"Liverpool won't be doing anything other than going into the game with the same confidence – full-backs flying forward, the three forward men will be interchanging, causing problems, running in behind, pressing.
"You'll have the three midfielders who will all just get about the pitch, they know how to condense space and how to press, when to press – they're a well-oiled machine, Liverpool.
"So, Liverpool won't be too worried about where they stop Tottenham. I mean of course there's some players you have to get close to at times, but I think with [Virgil] Van Dijk at the back leading them and with how calm and assured he is, it's not Liverpool who'll be worried, it's Tottenham."