The 71-year-old "Ghostbusters" and "Caddyshack" comedian suggested the changing nature of what's considered appropriate humor was a factor.
"It's been quite an education for me," he said. "The world is different than it was when I was a little kid. What I always thought was funny as a little kid isn't necessarily the same as what's funny now. Things change and the times change so it's important for me to figure it out."
Murray added: "I think it's a sad dog that can't learn anymore. I don't want to be that sad dog and I have no intention of it."
Searchlight Pictures has confirmed production was suspended but has so far declined to elaborate, citing the ongoing inquiry. The entertainment website Deadline reports the complaint against Murray was filed earlier this month and production was halted last week.
"Being Mortal" stars Murray, Seth Rogen, Keke Palmer and Aziz Ansari, who is writing, directing and producing the movie.
Production started in Los Angeles in March and the film was slated to be released in theaters next year. The film is based on surgeon and author Dr. Atul Gawande's 2014 non-fiction book on end-of-life care, "Being Mortal: Medicine and What Matters in the End."