Eugenio,
I'm a bit confused, because you said you're just writing the the input files (not running Modflow/Seawat), so I wouldn't expect that modflow or the GUI should be trying to find the hds file. The only reason I can think of that you might need the hds file during the write is if it uses it as an initial condition as An Ho suggested. Make sure that if you are using a previous run as initial conditions that the hds file you would be accessing is where you expect it to be and you have read access to the directory it lives in.
If you're also running Modflow/Seawat, the issue could also be read/write access to the directory?
If you're seeing the issue after the model run, the issue could be that the run didn't go because you have an issue in the model. In that case your model run crashed prior to the hds file being written and thus you can't access the nonexistent hds file for reading. In this case, look at the .lst file and see what it looks like at the end.
Hope that helps.
-Chris