One possibility is that you are using an external disk drive and you have not assigned a drive letter to it. If this is the case assign it a drive letter and then Premiere can find it.
I have the same issue.
All my drives are internal and have drive letters. I always have to render each time I open a project.
Are you preview files located with your project?
All my drives are internal too, and my preview files also located with project
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You might try deleting the files in your current
"Adobe Premiere Pro Preview Files" folder,
Open your project, set a different location for
your previews, render the timeline again,
close and re-open.
I had this problem in PPro CS4.
The only solution for me was to reinstall PPro.