Yes, it's because you are trying to open data that you don't have stored on your computer (or is stored in a different location than the layer is looking for the data in).
A layer file (*.lyrx") does not contain the data, it just contains a link to the datasource (e.g shapefile, geodatabase feature class or raster etc) plus the symbology, definition query, labelling etc.
The exclamation point is telling you that Pro can't find the datasource the layer file is linked to. It doesn't mean that Pro can't find the layer file itself.
You should ask the 3rd party to share their data as well as the layer file, either in it's original format or as a layer package (*.lpkx).