Clearly regressing. In Python 2 it was IOError exception:

>>> import urllib
>>> urllib.urlretrieve('missing')
Traceback (most recent call last):
  File "<stdin>", line 1, in <module>
  File "C:\pp\lib\urllib.py", line 93, in urlretrieve
    return _urlopener.retrieve(url, filename, reporthook, data)
  File "C:\pp\lib\urllib.py", line 239, in retrieve
    fp = self.open(url, data)
  File "C:\pp\lib\urllib.py", line 207, in open
    return getattr(self, name)(url)
  File "C:\pp\lib\urllib.py", line 462, in open_file
    return self.open_local_file(url)
  File "C:\pp\lib\urllib.py", line 476, in open_local_file
    raise IOError(e.errno, e.strerror, e.filename)
IOError: [Errno 2] The system cannot find the file specified: 'missing'
>>>