If a page is showing a 404 status, that means that there is nothing on that page, and the link doesn't exist.
If the link was found by Monitor Backlinks, then it means that it existed in the past.
Alternatively, if you imported the link, it could be that the data was incorrect.
Assuming that the link existed in the past, it mostly doesn't change anything about your analysis about whether to disavow it or not. You should continue to analyze whether it is a good or bad link/domain and make your decision based on that.