Western Bulldogs captain Bob Murphy says he's confident the AFL premiers would embrace any player who identified themselves as gay, adding that sort of leadership must also be shown by the nation's politicians.

Murphy told SEN Radio it was embarrassing that Australia had still not addressed the issue.

Murphy says he is embarrassed about the lack of leadship on gay marriage. Credit:Wayne Taylor

"If someone came out at the Western Bulldogs ... I know in my heart that if someone laid themselves bare like that and were vulnerable enough to talk about it, we would put our arms around them and if we felt the need to protect them from the noise outside we would," Murphy said.