The 404 error or page not found error is very common for all websites. You cann’t make every link goes to a specific web page on your WordPress site. If you are using a SEO plugin for WordPress, such as the popular SEO Ultimate, you will find a 404 Monitor feature you can make use of to monitor the 404 errors. You can also add your WordPress site to Google webmaster account, which can also notify you website errors inlcuding the page not found 404 errors. Here is the guide talks about: how to fix 404 errors using Google webmaster tools?
WordPress is great CMS, also very SEO friendly. Most WordPress themes would have a default 404 template so when your website visitors trying to access a non-existing URL or blog post on your WordPress, they will be redirected to this 404 page other than a default server error page with your WordPress hosting. Want to know how your WordPress 404 error page looks like? Simply open your web browser and access a page that does not exist, such as http://www.yoursite.com/1111111.html. If you found the default 404 page is boring, you can go to edit the default 404 page template in WordPress dashboard.
Edit your 404 Error Page for WordPress Site and Blogs
Log on your WordPress dashboard, go to Appearance >> Editor.
You will then open the editor where you can edit your WordPress theme files directly. From the top right corner, you will need to select the theme you want to edit its 404 error page template. Then all files for this selected theme will be listed, click to open the 404.php or 404 Template, you can edit it in the theme editor.
If you want to know what pages (pages that do not exist) your site visitors tried to access that triggered the 404 error, you can install SEO Ultimate plugin, it has a 404 Monitor module you can enable to check URLs with 404 error, how many visits or hits occur, date of most recent hit, what pages or URLs refer to those non-existing URLs. Google webmaster tools is also a great tool that can help you diagnose the 404 URLs. Again here is the link to how to fix 404 errors using Google webmaster tools?