Dale goalkeeper Sam Russell failed to cut out Kevan Hurst's cross and a towering header from defender David Mirfin settled the tie.
It was a harsh blow for Dale, who performed admirably on the night.
The home side were on top after the interval and should have scored when Martyn Woolford had a clear shot at goal but sliced wide from 10 yards.
With two minutes to go, Dale substitute Lee Thorpe twice tested Murphy with low drives before Scunthorpe's late, late winner.
ROCHDALE: Russell 7, Wiseman 7, McArdle 8, Stanton 8, Kennedy 7, Thompson 7 (Rundle 77), Toner 7, Keltie 7, Buckley 7, M Jones 7 (Dagnall 58 6), Le Fondre 7 (Thorpe 69 6).
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