The scene involves Murray's character, Carl Spackler, walking past Chase's character, Ty Webb, and spontaneously launching into a bizarre, improvised rant about gophers and the rules of golf.
However, there isn't a confirmed story about them actually hating each other. While they had a bit of a rivalry during their time at SNL, they have spoken about getting along fine on the Caddyshack set.
It's important to remember that anecdotes and rumors about Hollywood personalities can sometimes be exaggerated.