Absent disk

1 - go to the System/Users & Groups/Login Items preference pane and see if there is anything listed there that shouldn't be. If there is remove it and reboot to test.

2 - next, if necessary, boot into Safe Mode according to How to use safe mode on your Mac and test to see if the problem persists. Reboot normally and test again.

NOTE: Safe Mode boot can take up to 3 - 5 minutes as it's doing the following; 

• Verifies your startup disk and attempts to repair directory issues, if needed

• Loads only required kernel extensions (prevents 3rd party kernel/extensions from loading)

• Prevents Startup Items and Login Items from opening automatically

• Disables user-installed fonts 

• Deletes font caches, kernel cache, and other system cache files

It doesn’t show up in Disk Utility?

It can also be an encrypted disk image. Look in your Login Items in Users & Groups system prefs as OT suggested.