From your computer's desktop, select the file and check its permissions. It seems like your computer user does not have read-access to the data file.
I am also getting this exact same problem, were you able to find a way to fix it?
I believe the answer concerns having the same file open in Microsoft Excel when attempting to use the file as the data for a Data Merge in InDesign. (i've attached it below)
Can occur when the txt/csv file being opened is currently open somewhere else. Typically this is when it is still open in software such as Microsoft Excel. Close the software that may have that file open and try importing the data again.