It should be in the <head> of your pages… so ideally in your layout or added as an _include.
If you’re testing locally with jekyll serve and see this error in the log it’s usually a false positive. Most browsers try to request /favicon.ico regardless if you have one or not so you can likely ignore it.
If you are looking at the production site and open your browser’s web development tools console and see the error, then you likely have the path incorrect. Which is what @rdyar is getting at.