This issue usually occurs when you are trying to ssh outside of the folder you downloaded your .pem files on.
Therefore in order to resolve this you have to make sure that on your terminal, 
you first "cd" to the directory where your .pem files are located, then verify their existence there 
by using the ls command, if they are there you can then proceed to run the  ssh -i XXXX XXXXXXX command.

Hopefully this answers your question.

Thanks.