This will happen when TFS has some changes staged that no longer exist on the file system. For instance, if you add some files in Visual Studio (which adds them to the changes list), delete them directly from the file system, then attempt to check in the changes, it will complain that it could not find the file(s).
To remove these changes from the list, you can open Source Control Explorer (View > Other Windows > Source Control Explorer) and either Delete the nonexistent files or right-click on the offending files and Undo Pending Changes.
You can also undo these specific changes from the Pending Changes panel in Team Explorer.