What could be the best way to return a message if my method return an array in c# .net

I'm developing an application and I'm creating a method that has to read a file, but I'm not sure how to return a message in case that the file doesn't exist because my method return an array

Here is what I have:

MyFile = "C:\\MyFile.txt";

private string[] LoadFile()
{
    string Lines[];
    if (! File.Exist(MyFile))
         //????? <- return a message here!!
    else
       Lines = File.ReadAllLines(MyFile);
    return Lines;
}

I was thinking to do this, is the best way to do it?

private string[] LoadFile()
{
    string Lines[];
    if (! File.Exist(MyFile))
    {
       Lines[] = new string[1];
       Lines[0] = "File Not Exist";
    }
    else
       Lines = File.ReadAllLines(MyFile);
    return Lines;
}

Then catch the error message and print it?

What is the best way to that validation?