There may be times when page addresses change.  For example, if you just set-up an icompendium site, Google may still link to your old site pages, for example:

However, on your new icompendium site the page addresses may be, for example:

There are several ways you can deal with pages that no longer exist on the More options > Site traffic > Redirects tab.

Redirect missing pages to home page
Checking Redirect missing pages to home page redirects visits to non-existent pages back to the home page.  Leaving this unchecked will display a "Page not found" message.  But it will also speed-up Google's removal of this non-existent page from the search results.

Add redirects
Adding redirects is the suggested way to deal with non-existent pages.  Click the Add button to enter the Old URL path and the New URL path.  Using the examples above, this would look like so:

First, uncheck Redirect missing pages to home page. Then add redirects as needed.