Override these views:

\vendor\elgg\elgg\views\default\errors\default.php

\vendor\elgg\elgg\views\default\errors\404.php

I looked at those files and I couldn't edit it enough to put out a message with a link to the front page.
However, I found the Message Error located at this address: elgg/languages/en.php
Page not found and  
The page you are trying to view does not exist or you do not have permissions to view it. "
 I can't change it because there is something stopping the change.
If you know which pages are putting out those "sentences" and if they can be edited?
Appreciate it.
Thank You.

If you need a redirect when there's no page,  you can use your server configuration rules.

If you want to customize error pages inside Elgg, use the previous my reply.

I don’t want to look for Apache config now (which I hate), but I’m sure Google will help you.

Here is the redirect configuration example for Nginx:

location ~* /my-old-page { rewrite ^ https://mycoolsite.com/my-new-page; }

Bonus link: https://htaccess.madewithlove.com/