Bill Murray has been spotted on the set of the new Ghostbusters reboot, but his role has been a mystery... until now! It just so happens that the script for the movie specifies which role was written for Bill Murray, so I can tell you that he's playing...
Okay, that name means nothing to you because it's a new character in this new rebooted universe. Martin Heiss is a professional supernatural debunker, a sort of an Amazing Randi type, who shows up and 'proves' the new Ghostbusters are fakes. It's a really tiny role, and it's sort of the mirror image of where we meet Peter Venkman at the start of Ghostbusters II.
It's possible that Murray opted not to take this role; there have been already some small changes from the script to the film. In the script the Ghostbusters tackle a demon at New York Comic-Con and everybody at the event thinks they're cosplayers who are part of the show, while the movie seems to have moved that action to the Rock Revenge Fest. If Murray told Paul Feig he wanted to play a different role, I'm sure Feig would give it to him. But Heis is written for Bill Murray - it's specified in the script! - and I would bet that's who he's playing.