Yes, the file does not exists, that’s the point of the infection.
The type of malware that your website was infected with basically injects redirection rules in your access control files, these rules detect if whoever is visiting the website is a web crawler like Google Bot or Bing, then it redirects the HTTP request to a different site, usually containing spam.
Sucuri Security detects this type of malware by requesting a non-existing file, if the page returns a clean “404 Not Found” error page, then it means this type of malware is possibly not there. However, if the 404 page returns malicious code, it runs additional checks to verify the veracity of these claims, and then reports it.
If you have experience cleaning malware infections, you can go ahead and continue your research following these guidelines [1]. If you don’t have experience on how to clean infected websites, I suggest you to hire a professional security analyst to assist you.
[1] https://sucuri.net/guides/how-to-clean-hacked-wordpress