This happens when the image was moved to another location outside Lightroom after importing it.
Refer this articles on how to relocate the image within Lightroom: How to find missing photos in Photoshop Lightroom
I haven't moved the file -I just imported it from it's location.
I have tried this with different files in the locations described without moving them, just before writing my question.
I have read the other questions/ responses, and none of them help, as my files are not actually missing or moved.
Did you import using the COPY option or the ADD option?
What folder does Lightroom think the photos is in? (right click on the photo, select Show in Finder or Show in Explorer)
What folder do you think the photo is in?
Show us a screen capture of the photo in Lightroom and another screen capture of the photo in your operating system.