Bill Murray seemed surprised to be asked for a photo at Yankee Stadium

Bill Murray is a Cubs fan. If his frequent trips to Wrigley didn't give it away, his pants would. He will even stop by other ballparks if the Cubs happen to be in town. He is, perhaps, the Cubs' most famous fan. So, maybe he thought that his attendance at a non-Cubs game, like the Dodgers' 2-0 victory over the Yankees on Wednesday afternoon, would go unnoticed.
Maybe that's why he seemed so surprised when a fan at Yankee Stadium asked him for a photo:

It appears that Murray did indeed agree to take a photo with the fan, though he probably spent the rest of the game devising a number of disguises to wear in the future -- perhaps sad renaissance clown?
This also explains why Brett Gardner would opt to give a ball to his father (who traveled to the game with Murray) rather than Murray. He just didn't see expect to see Peter Venkman at a Yankees game.