Are you opening from the Home Screen or Bridge or Mac Finder / Windows File Explorer?
If you are opening from the Home Screen, it shows recently opened files. If you move or rename or delete a file, it will show up in the Home Screen as a recent file until you try to open it. Then you will get that message and the thumbnail will disappear, exactly as you describe.
Any chance the images were on an external drive that is no longer available?
These files are all saved to my hard drive - on a MacBook Pro btw. I open photoshop from CC and try to open the files from the 'recent' list - files I was working on as recently as yesterday, all saved as psd or jpeg files. When I click I immediately get the error message, and then when I hit the 'ok' required button the file disappears from the 'recents' window.
I have not moved them from where I have saved, but I do have 2-3 versions of files 'saved as' different formats or versions. None seems to open - and all the files I have tried to open in this way appear grayed out in finder - they cannot be opened at all (even jpegs by preview). All my recent work. Has been happening since Thursday and never before. I updated to newest photoshop this morning and still can't open or recoignize files.