Former Queensland State of Origin forward Arrow, went public with his MND diagnosis earlier this week and was visibly moved when he announced his retirement with immediate effect.
Arrow, who played for Brisbane, Gold Coast and finished his career alongside Murray at Souths, has received widespread support from across the code.
"There's no better bloke and we're all behind him," Murray said on Saturday.
"We all love him, so we'll be there with him through this fight. It's cruel, life can be pretty cruel sometimes."
There has been an online push launched by fans - and backed by several high-profile players - for the NRL to introduce a 'Try for Jai' campaign to support Arrow, a 30-year-old father, in his battle with the insidious disease.
The NRL has previously run a "Try July" initiative where players' post-try celebrations are rewarded with donations to charity.
"I think that would be a great initiative, if we can all do our part and help out in some small or big capacity. I would love to get on board with that," said NSW hooker Blayke Brailey.
"Hopefully the NRL and the clubs can sort something out because I think that'll be an amazing initiative for him."
Murray said Arrow's heroics as a player for Souths - particularly over recent seasons when he played through injury - would not be forgotten.
"Over the last couple of months he's shown an incredible amount of strength with what he's been going through," Murray said.
"The strength that he's shown in the face of such a cruel disease has been amazing.
"He's definitely left his mark on rugby league for sure and particularly since he got to the club in 2021 he's left his mark on all of us.
"We're all better people for knowing Jai and we're all right behind him and it's really good to see the support that he's got."
Murray was speaking from Gosford on the NSW Central Coast where the Rabbitohs lock has been in camp with the Blues ahead of Wednesday's State of Origin series opener.
The 28-year-old forward missed all of last year's campaign with injury and has been named to start on the bench alongside long-time Sydney Roosters adversary and fellow tough nut lock Victor Radley.
"I've known Rads for a long time since we were little kids really, we played against each other since U8s or 9s - and most of my (NRL) career," Murray said.
"I think I've only played one or two games with him in a rep jersey and most of our career we've been playing against each other and I've had a lot of respect for Victor and what he's been able to achieve.
"With the type of footy he plays, I don't think I'd be alone in saying that he's built for an arena like this."
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