Every wordpress theme has a 404.php file. This error occur when a user click on link to a missing web page, the web server will send the user an error message template such as 404 Not Found !!!.
Admin can customize this error page. Means if you are the admin or having the credentials you can edit the message coming on the template according to your will. Here is code written below for your reference.
PHP Code:
<div id="container">
<div id="post-0" class="post error404 not-found">
<h1 class="entry-title"><?php _e( 'This is somewhat embarrassing, isn’t it?', 'twentyten' ); ?></h1>
<div class="entry-content">
<?php _e( 'It looks like nothing was found at this location. Maybe try a search?', 'twentyten' ); // you can customize this error message. ?>
<?php get_search_form(); ?>
</div><!-- .entry-content -->
</div><!-- #post-0 -->
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