Generally it is due to the original item has moved or been removed. If you can find the shortcut itself, right-click the shortcut and choose Properties. Then look at the Target reference. Possibly even copy the details and paste them into a search or address bar and see what happens. Else manually go to that location to see if the original item still exists there. If not then it's either been moved or deleted. If the original item is not there, then do a search for it.

I know you've been having this issue for a few years now.