Why do I get a "file does not exist" message when I try to save a TextEdit document?

I created a plain text document with TextEdit and tried to save it to my hard drive while changing the filename from "untitled.txt" to "Chapter 02.txt". I am attaching a screen shot of the result. Why won't it let me save the file? The claim that the file does not exist makes no sense to me. For one thing, I am looking at the file I want to save. If it does not exist, how can I be looking at it? For another, if it doesn't exist in the place I want to save it, then of course it doesn't exist and I want to create it in that place. Can we perhaps have error messages that tell me what is really going on so I can find a solution to the problem of not being able to save the document instead of telling me some nonsense that can't possibly be true?