File does not exist

If you hover over the name of your file in the Home screen > Recent files you will see the location where you saved it.

Did you rename a folder/directory?

Did you move the files?

Do a search on your entire HD... Use an app like EasyFind (it's entirely possible that a Finder find and Spotlight (is that still used?) are now entriely adequate for this but my old Mac can't find diddly without EasyFind... Your mileage may vary)

There's always your back-up, right?

Firstly did you simply do a find file from your Mac desktop for the missing file? Secondly, a simple trick I use when I can't find a file and don't remember—or am not sure—where I saved that file to is to within Illustrator do a "save as" and see what window pops up for the save. Many times it will turn out to be where I actually saved the file to.

Do you remeber if the files were saved locally, on a device or in the cloud?

there is a thread that could help you locate where the files were actually saved https://forums.macrumors.com/threads/adobe-illustrator-open-recent-documents-history.1142094/

The error message indicates that at the location memorised, the file is not there. Could they have been moved, disconnected (USB device or Cloud service not logged in...) or your antivirus 'purged' them.