If it's not found, then you should issue a 404 page. Doing a redirect causes a 302 code, followed by a '200 OK', implying that there IS some content. A 404 flat out says "there is no file. stop bugging me".
Something like this would present a 404 page with proper header code:
<?php
if ($page_not_found) {
header('This is not the page you are looking for', true, 404);
include('your_404_page.php');
exit();
}
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