You ought to checkout %SIG in perlman:perlvar, specfiically __WARN__ so something like the following before your find:

$SIG{__WARN__} = sub{
    print "There is no: $_[0]\n";
}
[download]

Doing whatever it is sepcifically you need to do to notify yourself about non-existant directories.

UPDATE: Based on jeffa's response I may have misinterepreted what you want, and this is overkill...