This error will appear if Project client can't find the file name referenced in the tab-delimited file you uploaded. If the file names in your tab-delimited file match the files in your folder, check to make sure the directory structure is correct. If the directory structure is correct, confirm that there are no blanks in the file name field in your tab-delimited file. If problems persist, contact OCLC Support with your server/collection name as well as the tab-delimited file you are using to import data.
There is more on generating thumbnails and importing multiple files into Project client.