Croatia will host Argentina for the 2016 Davis Cup title after winning their semi-finals last weekend, but a host city has yet to be named.
"I am not sold on that (neutral venue)," Murray told British media. "I do love the home and away atmosphere that we get in the Davis Cup.
"It is something that we as tennis players aren't really used to because we are playing in neutral venues a lot of the time and the home and away aspect is something that I enjoy and makes it special."
The world number two however supported the idea to host the finals over two days instead of three.
"The last three days, coming off the back of the Olympics, Cincinnati, the US Open, and then being on court for 10 or 11 hours, was really hard," the Olympic champion added.
"Maybe playing it over Saturday and Sunday, best of three sets, I like that idea. If it doesn't work you can always change back."
(Reporting by Nivedita Shankar in Bengaluru)
