If you've upgraded your Mac to Mojave, you may encounter something new. Something besides the new dark theme (yay!) and the new screen capture app (yay!!) ... Finder might 'lose' your file.
This phenomenon seems to happen when the destination folder of the file is iCloud. For example, I do a screen capture and save the new file to Documents/mynewfile.png. When I look in Documents in Finder, the file is not there. Is it gone? Is there a hole somewhere?
No, the file is still there. It's a sync problem between iCloud and Finder. When I open the file using the Recents menu, it's there to be found, but it doesn't appear in Finder.
So, what to do? Simply restart finder. You can't close it like a regular app, but you can restart it. Hold the Option (⌥) key and right click on the Finder icon, and Relaunch will be among the choices. Relaunching will force a sync.