The .cda files that we see in our Windows explorer are generated by the Windows CD drivers. They act as a pointer or shortcut to the CD location of a specific track only and do not contain any musical information, or the actual audio file or music.
Thus, if then we attempt to convert a .cda file, it will require the CD that contains the actual audio file. If CD is not available during the .cda conversion, you will get an error as it cannot find the audio file that it points to.