Create a page
Create a new node of type Basic page
Add content
Use below sample code to create this page.
<div class="error-page">
<h1>ERROR 404</h1>
We are sorry, but the page you were looking for doesn't exist.
</div>
You have not successfully created Error 404 (Page Not Found) page.
Set this page as default Error 404 page
Navigate to: Administration >> Configuration >> System
admin/config/system/site-information
And set this page as your Error 404 page and click Save Configuration button.