What exactly do you mean by "I Downloaded"? Do you mean you imported the images into LR and at the same time Copied the images from the cameras memory card to a folder on a hard drive connected to your computer?
There are 4 options at the top of the import window. Copy as DNG, Copy, Move and Add. Which one did you select when you imported the images?
Do you use a card reader or did you connect the camera to the computer with a cable?
Use the File manager for your OS to look in the folder you placed the images in when you imported them.
When you look at the thumbnail images do you see an asterisk "!" in the upper right hand corner? That's letting you know that the file has been entered into the database but LR doesn't know where the actual "real" file is.
-Could you have moved the file in your OS AFTER you downloaded the files into your computer?
-Could you have placed them onto an external drive and removed that drive?
IF you do find your files (by using "Just Shoot Me's" suggestion to look for your files via your OS search capability), than click on that exclamation point, and when LR suggests that you "find the file," use the standard OS window to locate THAT file and probably all of the other files will be found.
What I mean by this is let's say you have clicked on file "nik_12345.raw" (sorry I am a Canon user, do not know the Nikon naming scheme). Then look for that specific file. If found, than be sure to click on that name to link up LR's data base to THAT file's location.
When I say "probably above, that is dependent upon you not creating a variety of subfolders, change of folder names, etc. in your OS, NOT in LR. The more you did in the OS (if anything), the more complicated it is to fix later. The important thing about LR is that anything you do with the files placement, order, etc. you need to do that IN LR. Not in the OS. Just accept that, it is the way it is.
Please let us know if any of this solves your issue.
Thank you for your suggestions---I have been at my wits end because I've been doing the same procedure (as far as I know) for two or three years, and I've never had this problem. I have a MacBook Pro with 1 TB built in hard drive, and I connect my camera directly to my computer via cable to import the images. I to to 'File/Import Photos and Video', and I also select 'Copy as DNG'. The files that are imported from my camera are raw files and are called '.NEF' (Nikon) before Lightroom converts them to DNG.
Here is another wrinkle. The first day that I imported the files they were all DNG with no messages in the Develop Module. The next day when I tried to open/select the photos in the Develop Module I got the message 'The file could not be found'. This was Monday and Tuesday, respectively. Today (Thursday) when I selected the folder and looked at the pictures in the Library Module, there were two copies of each picture----one a '.NEF' and the other a '.DNG'. The NEF file has the exclamation mark in the upper right hand corner, and the DNG file has an arrow in the upper right hand corner. If I click on the arrow I get a message 'The metadata for this photo has bee changed by another application. Should Lightroom import settings from disk or overwrite disk settings with those from the catalog?' If I click on the 'import settings' selection the arrow goes away, but I still have two of the same picture---one an 'NEF' and the other a 'DNG'. I can go through and delete all the 'NEF' files, but the question remains---why has this change happened? I am not aware of anything that I'm doing differently.