Check within your folder (not through Unreal, just through File Explorer). Is the file there?
Do you have source control (Git / Perforce?). If so then check the history in there. If you don’t use Source Control, I suggest looking into it to avoid problems.
Check your recycle bin. Is it there?
If the answer to these is no, then you’ve probably lost the file, and it’s likely because you accidentally deleted it or didn’t save it. If you can still find the file and it’s not loading, then it may have become corrupted. If you can post a bit more detail about the asset then someone may be able to help. If this is the problem then again, I recommend looking at source control as this will go a long way to help when these problems occur.