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The actor – who played Aunt Polly Gray in the BBC gangland drama – died in April at the age of 52 after battling cancer.
The rest of the cast have now wrapped shooting on the sixth – and last – series of the show.
And Murphy said it was tough without their “matriarch”.
Watch: Cillian Murphy never, ever considered himself Bruce Wayne material
He told radio show Today FM: “It’s desperately sad. Sad for all of us and everyone that knew her and was close to her and all her fans.
"She was like the matriarch of Peaky Blinders, and I think my closest colleague on the show.”
Cillian Murphy chats about a Peaky Blinders movie 🎥
He also spoke about the sad loss of Helen McCrory who Cillian described as "the matriarch of Peaky Blinders" and his closest colleague on the show 💛@DermotTodayFM @DaveTodayFM pic.twitter.com/Czvl37FG6f
— Today FM (@TodayFM) June 10, 2021
Murphy, who plays gang leader Tommy Shelby, went on: “The Polly and Tommy storylines were always my favourite.
"And she was without doubt one of the best actors I’ve ever had the pleasure of working with. But on top of that just an extraordinary human being.
“So it’s really really sad. And we’re all still dealing with it like everybody else, and we really miss her.”
McCrory’s death was announced last month by her husband and fellow actor Damian Lewis.
He released a statement saying the Skyfall and Harry Potter star had died peacefully 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."
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