The Ultimate Guide to 404 Pages for WordPress

Bad 404 pages are like trampolines for your WordPress site: Visitors who land on them are going to bounce. How you deal with 404s will determine whether visitors stick around or check out the competition when they end up on a page that WordPress can’t find. 404 errors aren’t unique to WordPress. The 404 message is the standard error code returned by a web server when a requested webpage can’t be located. Basically, a 404 means the server is working just fine, but the requested webpage is nowhere to be found.

Source: The Ultimate Guide to 404 Pages for WordPress