It makes sense that Murray isn't in the show because he isn't as close to the other characters as Hopper and Joyce are. It wouldn't be a surprise if Murray wanted to get back to his home in Sesser, Illinois, since he didn't live in Hawkins. The Upside Down begins to take over the town in the end of the second volume of the fourth season of Stranger Things.
Unless he's hidden offscreen, Murray isn't in the final scenes of the fourth season of Stranger Things. If Murray was going to die in the movie, it would have happened at the prison in the fight against the Demogorgons, so audiences should be reassured that he is alive and well. Murray's death would be a huge shock since he was last seen with Hopper and Joyce as the plane was about to take them home. It'd be odd if he didn't come back in season 5, but it makes sense that he wasn't there at the end of season 4.
There was no guarantee that everyone would make it back from Russia safely, so it's possible that Murray died in the finale.
It had always been assumed that this was where the Russia story would take place, especially with Hopper heading home, though it wasn't always clear if everyone in the party would make it. Even if his location isn't known, there's no need to worry about him, as there's likely a simple explanation for why he'll be back in season 5.
The fate and whereabouts of Murray Bauman in the second volume of the series are not known. After fights with an unreliable pilot and some dangerous dalliances with demogorgons, the trio - along with Enzo and Yuri - make it off Soviet soil and head back to the US. It was surprising not to see Murray as it came to a close because he was a key part of Joyce and Hopper's story. It raises the question of where Murray is at the end of the show, and whether he's ok. Murray has taken on an increasingly large role in the cast of characters.
If he's alive, where is Murray in the end of the show? Murray and Joyce Byers went on a mission to rescue Jim Hopper in the last season of the show. At least, that seems to be the case. The most logical explanation is that he went back to his hometown. They are a family unit, but not everyone is accounted for.