Murray said Monday that he talked to Selanne three days ago and is scheduled to talk to the 41-year-old forward again next week.
"He had been struggling a bit," Murray said, according to the team's website. "I think he was getting depressed about the whole thing. Finally last week, he had a few days where it wasn't bugging him. He intends to go pretty hard this week with the bigger boys who are there in Helsinki.
"I want him to be healthy. I have no timeframe on him whatsoever."
Selanne had arthroscopic surgery on his left knee on June 30 and has said he will wait to see how his knee responds once it has completely healed before making a decision about playing next season.
But Murray said the team has a plan if Selanne chooses to retire.
"You don't replace him," Murray said. "There is a Plan B. We'd have to do some things and look at building the team a different way without Teemu. ... That time is going to come, so of course we have thought about it."
According to a report last week in the Finnish newspaper Ilta-Sanomat, Selanne will not make a decision until September.
Selanne also had reconstructive knee surgery in 2004-05, when the NHL was in a lockout.
Selanne had 31 goals and 80 points in 73 games this past season. In his career, he has scored 637 goals and recorded 1,340 points in 1,259 games.