Murray, a two-time Wimbledon singles champion, and his brother lost 7-6(6), 6-4 to Rinky Hijikata and John Peers of Australia.
He is not finished yet with the tournament as he is scheduled to play mixed doubles with Emma Raducanu.
"It was really special to play with Jamie. Physically it was not easy but I'm glad we got the chance to do this one time together," said Murray.
Tears flowed when video tributes were paid to Murray by a number of stars including Roger Federer and Rafael Nadal.
Career-long rival Novak Djokovic was courtside to witness Murray's emotional evening in the spotlight.
Murray received a standing ovation when he walked onto Centre Court alongside his brother, older by 15 months and a winner of two Grand Slam men's doubles titles.
Up in the players' box, his family, including mother Judy, father William, wife Kim and two of his children joined in the applause.
The famous arena witnessed some of Murray's most dramatic moments.
His tearful 2012 final loss to Roger Federer was followed by Olympic gold weeks later.
In 2013 he claimed his first Wimbledon title, ending a 77-year wait for a British male champion, and added another three years later.
The former world number one was treated to more ecstatic cheers when it was announced it was his turn to serve.
Murray had withdrawn from singles duty at the tournament after failing to recover from surgery to remove a cyst on his spine.
Hardly surprisingly, Murray appeared stiff in his movement, not helped by the chilly temperatures, which dipped to 18 degrees Celsius (64 degrees Fahrenheit).
The brothers had a set point in the opener, which they were unable to convert.
Hijikata made them pay with a drive forehand down the middle of the court when it came to his turn to capitalise on his team's set point.
"Let's go" shouted Andy Murray when he and Jamie staved off break points on his serve in the opening game of the second set.
Murray had grimaced as he struggled on serve -- he defiantly clenched and punched the air when he prevailed.
Moments later, Murray treated his fans to his trademark, nerve-tingling roar that has regularly bounced around Centre Court for the best part of two decades as he unleashed a winning forehand for a 2-0 lead in the second set.
The euphoria was brief as left-handed Jamie was broken.
Peers unintentionally speared a fierce forehand at the body of Andy Murray and immediately apologised.
Jamie dropped serve again as the Australian pair moved into a 4-3 lead with Hijikata eventually sealing victory with a smart backhand down the centre.
