The World No.1 was beaten 6-3, 6-3 Borna Coric, seeded 59th in the world, on Thursday.
Murray has endured a hardy season on clay, suffering a shock defeat in the last 16 of the Monte Carlo Masters last month and also defeated in the semi-finals of the Barcelona Open.
"I definitely think I need to be concerned about today," Murray said.
"It's not always the worst thing losing a match, but it's sometimes the manner of how you lose the match which can be concerning or disappointing."
"I was just making lots of mistakes early in the rallies and trying to end points very quickly at the beginning, and the errors just kept piling up." the 29-year-old told BBC Sport.
"I didn't feel that was down to confidence - I just wasn't focusing as well as I needed to on each point.
"I made a lot of unforced errors and I also didn't find any way to make it a more competitive match, so that's the most disappointing thing for me.
"You can lose matches sometimes, but the manner of today's loss was disappointing."