The four-star 14-bedroom Cromlix House Hotel, which sits in 2000 acres in Dunblane, Perthshire, told would-be guests it had closed last week.
Murray, the brother of world number four tennis player Andy, wed his Colombian girlfriend Alejandra Gutierrez in 2010 in a chapel at the hotel, and celebrity guests have included racing driver Dario Franchitti and his actress wife Ashley Judd.
Staff phoned guests telling them their reservations would not be honoured following the decision.
No reason has been given for the closure, but the hotel is believed to have struggled despite the popularity of "stay-cations" during the downturn.
Local councillor David Goss said: "It's come as a shock, although I had heard they were in financial difficulties some time ago."
The former family home, built in 1874, is owned by Glasgow businessman Ian Grier.
It had eight luxury suites, three dining rooms and meeting rooms.
A statement on the website said: "We regret to inform you that as of 16th February 2012, Cromlix House Hotel ceased trading.
"Additional information will be available here week commencing 20th February. We realise guests will be anxious to know more and we ask that you revisit the website on/after the 20th February.
"We thank all our great guests for their custom over the years – it has been a pleasure looking after you."