It could mean the the WORLD file was deleted. However, if you didn't delete it, that may be unlikely. If could also happen if you moved the file in your OS, and somehow that broke the link in Godot. Though this sometimes works, I find it is more reliable to move/rename files inside the Godot editor to make sure the links are not broken. I would look in your project folder and see if that WORLD file is there somewhere.
If you maybe deleted the file by accident, you can try Recuva, which can undelete files on Windows. This doesn't always work (sometimes the deleted files are corrupted) but it can help if you are lucky.
https://www.ccleaner.com/recuva
Ultimately, though, you might want to look into source control, like Git, so this doesn't happen again. You can try Bitbucket, it's free for end-users.
https://bitbucket.org/product/