That means (!) it is still on your iT library list but no longer situated where iTunes can find it. It often happens when you add songs from a cd & convert them to mp3. You're left with the original listing. Do a search for these mp3's to make sure you haven't unwittingly moved them. Alternatively you can Consolidate the Library (under Advanced on menu bar.) This should move all copies of songs to designated location (default iT library location on your hdd.) This might not necessarily work.