The La Liga outfit Valencia finally confirmed Gennaro Gattuso as their new first-team coach on Thursday.
Among his comments, Murthy jokingly said he would kill player Carlos Soler if he leaves the club without a transfer. The club at the time said the audio was edited and taken out of context.
Rayo Vallecano's winless streak in the Spanish league reached 12 matches after a 1-1 draw at home against Valencia on Monday.
Valencia are placed comfortably in the fourth position in the 2017-18 La Liga with 53 points -- one point less than Real Madrid.
Valencia midfielder Kondogbia has said he will try to put his emotions to one side as faces his former football club Sevilla.
The victory took fourth-placed Valencia to 49 points, just two behind Real Madrid and eight ahead of Villarreal.
Valencia beat Leganes 3-0 as they continued their stunning run with an eighth straight win to close to within a point of Barcelona.
Andreas Pereira defied Mourinho's express advice when he sought, and accepted, a temporary move to the La Liga side.
Valencia hadn't scored a club goal since netting twice for West Ham against Manchester City in January 2016.