The German was sacked this week following the West London club's winless start to the Championship season.
Murphy is quoted as saying by BBC Sport: "Brede Hangeland was given a lump of cheese, soaked in alcohol, and this is straight from the horse's mouth, and was told to leave it on a thigh injury overnight.
"The club doctor, who has now moved on strangely enough, didn't think it was a good idea so I don't think Brede did it.
"It is one of many ridiculous and sad stories we have heard about Felix Magath that have ultimately cost him his job and put Fulham in a world of trouble now."
Hangeland now plays for Crystal Palace.