Murdoch's rink lost out to Kyle Smith's team, despite having secured Team GB's spot at the Games with a sixth-place finish at the 2017 World Championships.
"It's been three years of a campaign to try to achieve your goal of getting to the Olympics so I'm very disappointed and shocked," he told BBC Scotland.
Murdoch guided his rink to the silver medal at the Sochi 2014 Games.
"You have a plan to go to the Olympics and it doesn't come off, so you have to just take that on the chin really," said the 39-year-old, who has also won two world titles.
Team Smith were preferred over the rinks of Murdoch and Tom Brewster, with selectors impressed by their form this year on the World Curling Tour. The rink, made up of Kyle Smith and his brother Cammy, Kyle Waddell plus Thomas and Glen Muirhead, accumulated more ranking points than the other two teams.
Murdoch believes it would have been a tight call for selectors, but felt his rink might just have shaded it.
"The teams that were vying for the spot all had the opportunity to stand out, but that wasn't quite the case," he said. "But I think recently with our form and with the experience we have with the Olympic games, I felt that put us a little bit ahead, but obviously with the selectors that wasn't the case."
Murdoch says following the initial call from the selectors he has since had "some good conversations" with them about the process and the decision they came to, although he admits it has not lessened his disappointment.
The Lockerbie curler was hoping to go to his fourth Olympic Games, and felt his rink's exploits in securing the quota spot for Great Britain at the World Championships this year may have boosted their bid for selection.
"That was actually a really tough week with what was at stake and especially when you were playing against all the top teams as well," he added.
"We'd like to have been a couple of spots higher and I think on another week we probably could have been, it just wasn't to be. But we did do a good job and we're not getting to bear the fruits of that, unfortunately.
"That's elite sport and you have to take the highs and you have to take the lows - and this is one of the lows."
Murdoch, who reckons it is tough to call how the younger, inexperienced team might perform in South Korea, revealed he will take time to consider his future, with the next Olympic Games being held in Beijing, China, in 2022.
"You have to assess where you are and I've not achieved my goal as to where I wanted to be at the end of that four-year cycle," he said.
"So you have to look at the situation and you've to go away and have a really good think. I'm probably going to have a look at some options in the next few weeks and make a decision pretty soon."
David Murdoch says it was a "body blow" to miss out on selection for next year's Winter Olympics in Pyeongchang.