The IRS uses Notice CP259 to inform you that they have not received a specific business form from you, usually Form 941 or Form 940.
Types of Notice CP259
There are several versions of the Notice CP259 used for various reasons:
Response to Notice CP259
You may have believed you filed but the IRS doesn't have a record of it. If so, just re-sign the form in blue ink (so they know it's an original) and re-send it to them. If it is later discovered that you did file the return, the subsequent return will be discarded. But, in the meantime, failure to file penalties will be stopped.
Because you are filing a new return you have the opportunity to review it and find more deductions, if possible.
If you have full-paid the tax then there will not be a problem and you can usually escape liability for late-filed returns. Just complete the response form and send it to them.