And now we know why.
Murray was attending his son Luke Murray's wedding in Philadelphia to Kara Cassidy.
Actress and close friend Kelly Lynch tweeted a picture of Murray at the wedding with the caption, "Another reason I <3 #BillMurray - he wins an #Emmy but is at his son's wedding #priorities." It looks like Murray, 65, is giving a speech of some kind.
The band also tweeted a picture with Murray from the Hyatt as The Bellevue in Phily.
"BEST GIG EVER!!!! Bill Murray jumped on stage & rocked out with us.....SOOOO MUCH FUN!!!" one of the band members wrote.
The band added, "The groom's father (Bill Murray) decided to hop on stage, sing with us and later return afterwards to thank us personally while honoring several selfies."
And one more from the band - "Tonight I got to sing for the ONE AND ONLY.... Mr Bill Murray!!! Mr Ghostbusters... Mr Groundhog Day... Mr Space Jam! #GigLife #LoveWhatiDo #Philly."
Here is a photo of Joel Murray with the groom himself Luke, an assistant basketball coach at Xavier University in Ohio.