While at the show, Chappelle got on stage to praise Murphy for his friendship and comedic genius.
During Mayer's show, Chappelle, 43, took the stage and said: 'Today I got some awful news; my good friend Charlie Murphy passed away this morning, and everybody in comedy is heartbroken.
Murphy, the older brother of film star Eddie Murphy, lost his battle with leukaemia at the age of 57.
"Rest in peace, Charlie Murphy", Chappelle said. "We love you, we love your comedy, we love your stories, and we love your spirit".
At Chappelle's request, Mayer played his song "You're Gonna Live Forever in Me" in tribute to Murphy.
The untimely death shocked friends and fans who thought Murphy was gaining strength ahead of a show Comedy Get Down scheduled to holdin Detroit in May.
His family said in a statement Wednesday night that their "hearts are heavy with the loss today of our son, brother, father, uncle and friend Charlie".
"My good friend Charlie Murphy passed away this morning and everybody in comedy is heartbroken", Chappelle told the crowd.
Mr. Murphy was perhaps best known for his appearances on Dave Chappelle's Comedy Central show from 2003 to 2006.
The family added: "Thank you for the outpouring of condolences and prayers".
Charlie Murphy also co-wrote the screenplays for Vampire in Brooklyn and Norbit, which starred his brother. He voiced roles in animated TV series that include The Boondocks and Black Jesus.