When a user requests a non-existing page, the servlet container (Tomcat) or application server displays a 404 error page and returns the 404 error code. You can configure what happens in the case of a 404 directly in the web.xml configuration file in the container.
A common solution is to create a custom error page that looks like the rest of your site, tells the visitor in clear terms that the page was not found, and provides some alternative ways to continue such as navigation and a search box.