The 21-year-old has handed in a transfer request at Goodison Park in the hopes of forcing through a move to Stamford Bridge.
However, Roberto Martinez has stood firm by confirming Stones is not for sale under any circumstances, despite interest from the Blues.
He said after the League Cup win over Barnsley: "We will reject it [Chelsea's bid] in the morning and get on with our business."
However, former Liverpool man Murphy believes Everton would be 'crazy' to turn down £40million for the centre-back.
He told TalkSPORT: "If he really wants to go, mentally it is very difficult to have a player playing to his maximum when he is somewhere else.
"From a financial point of view, it is crazy not to sell him.
There is a risk for Everton if they keep him that they will never get that amount for him again
“What can happen this season is, God forbid, he could do a cruciate knee ligament or he could have a bad season if his head is not right – and the huge attention on him now from the media could have an adverse effect.
“There is a risk for Everton if they keep him that they will never get that amount for him again.
"That is not a reason to sell, but it has got to be taken into consideration with all the other factors.”