Cyclist Sir Chris Hoy was also knighted while still competing in his sport.
The 26-year-old received the Order of the British Empire in the New Year honours list though some of his supporters thought his major victories warranted a higher honour.
"You need to do a lot, for a long time, to deserve an honour like that," Murray told AP.
"A lot of the sportsmen and women have been given that just because their sport isn't necessarily in the spotlight all the time, it's easy to forget what they've done for 10, 15 years. I mean, some of them have won 10 gold medals in world championships, four or five Olympic medals and have been doing it for years.
"I've only been doing it for a couple of years so I think I'll definitely need to win a few more matches and have more tournaments to have a chance of getting that."
Former tennis professional Andy Roddick may have the inside word.
"Pretty sure @andy_murray might have to change his twitter name to @sirandymurray ...... Well played and deserved," he tweeted.
Pretty sure @andy_murray might have to change his twitter name to @sirandymurray ...... Well played and deserved!
What's certain is Murray's next step. The United States beakons for Murray as he begins working on the defence of last year's US Open crown and target his third Grand Slam title. The US Open begins on August 26.
- nzherald.co.nz/AP