Once you've run a crawl of your site in Site Audit, you might see a '404 page' error in the report under the Internal pages menu:
This refers to pages on your website that are returning a 404 - Not Found HTTP status code, aka a "dead page". The "404 - Not Found" is one of the most common 4XX errors and indicates that the page does not exist.
Why is this important for SEO?
Some SEOs say that broken links (links heading towards a dead page) effectively waste "link juice" - which is how Google's PageRank algorithm works. Some SEOs also say that broken links hinder your website's crawlability.
One thing is certain: dead pages and broken links contribute to a poor user experience.
Note: You can read this article from Google to learn more about whether 404s hurt your site: https://webmasters.googleblog.com/2011/05/do-404s-hurt-my-site.html
As a general rule, you should review all the internal links to these reported 404 pages and remove or replace them with relevant links to live pages.
You can also set the appropriate 301 redirects. This is especially important when you move or delete pages on your website.