The HTTP 404 Not Found Error means that the webpage you were trying to reach could not be found on the server. It is a Client-side Error which means that either the page has been removed or moved and the URL was not changed accordingly, or that you typed in the URL incorrectly.
A Custom 404 page is designed to be helpful in helping your visitors to find what they were looking for when they wandered off track. Without it your visitors will just get an error message and would leave your site.