Murphy, who won the tournament in 2008 and was also runner-up in 2012 and 2017, surrendered a 3-1 lead in the match as his poor start to the season continued.
Murphy said: “I didn’t see that coming because I have been practising so hard, and my preparations for this event have been fantastic.
“I have had a terrible season so far but that has left me a lot of time to practice and I feel my game is in such good shape – but I’m still waiting for that to come through.
“Chen played some great snooker after the interval and he deserved it in the end. He potted some outrageous balls when I had him in the long grass.
“I thought he might twitch a bit towards the end, but he didn’t. I can’t wallow in self-pity and give up, I have to keep on going.”
Another former winner, Jimmy White, saw his hopes of a decent run in the tournament brought to an end in a 6-3 defeat against Thailand’s Thepchaiya Un-Nooh.
White, 56, now ranked 77 in the world, put up an encouraging performance against Un-Nooh, scoring three breaks over 50 including a 97 to temporarily threaten a comeback before his opponent hit back and finished the job.
World No 12 Ryan Day was another surprise loser as he went down 6-2 to world No 121 Joe O’Connor.
“It’s definitely the best win of my career so far,” said O’Connor.
“Surprisingly I didn’t get nervou, I’ve played on the match table here a couple of times before so that helped.”
Former world champion Stuart Bingham swept through 6-0 against James Wattana.
Yorkshire is guaranteed at least one player in the second round, after Pickering’s Paul Davison beat Stuart Carrington 6-1.
The 47-year-old from North Yorkshire – who first turned professional in 1992 – raced into a 5-0 lead highlighted with breaks of 77 and 58. Grimsby’s Carrington pulled a frame back before Davison secured his place in the televised stages.
Leeds’s Oliver Lines suffered a first-round exit, however, losing 6-2 to veteran Graeme Dott.
The first round is completed on Thursday when Sheffield’s Adam Duffy faces world champion Mark Williams, Leeds’s Peter Lines plays Rory McLeod, and York’s Ashley Hugill comes up against Hossein Vafael.