McCrory – who played Aunt Polly Gray in the BBC gangland drama – died in April at the age of 52 after battling cancer.
Murphy told Empire magazine that the coronavirus delay meant she was unable to film planned scenes.
He said: “We were about to shoot and then the pandemic happened. If we had shot then, Helen would’ve been in the show, and that makes me feel sad.”
Murphy, who plays gang leader Tommy Shelby, also said it was “a huge loss”.
“Because she was the matriarch of the whole thing," he said. "As the character, but just also as her personality."
However, the actor said that McCrory’s presence would still be felt in the sixth – and final – series of the programme.
McCrory’s death was announced in May last year by her husband and fellow actor Damian Lewis.
He released a statement saying the Skyfall and Harry Potter star had died at home.
"I'm heartbroken to announce that after a heroic battle with cancer, the beautiful and mighty woman that is Helen McCrory has died peacefully at home, surrounded by a wave of love from friends and family,” he said.
"She died as she lived. Fearlessly. God we love her and know how lucky we are to have had her in our lives. She blazed so brightly. Go now, Little One, into the air, and thank you."
Peaky Blinders director Anthony Byrne later paid tribute to the actor by sharing a picture of a clapperboard painted with a picture of McCrory as Aunt Polly and the words: "Rest In Peace Helen."
Watch: Cillian Murphy leads tributes to the late Helen McCrory