The Saints did not let Murray walk. As a veteran on the Practice Squad at the time, Murray was a free agent. He chose to sign with Denver. And IIRC at the time he said he did so because he wanted more opportunities.
I'm not sure why there is this widespread notion that players do not have agency in their careers. They pick teams just like teams pick them.
Another example is Krull this offseason. He cleared waivers. So, he was a free agent that chose to sign with Denver.
SFIAH