This could be caused by a number of things. You will need to go to your project folder, locate the specific job number (quickest way: Recompile the job, and do a ls -altr, and locate the latest ds_sc**** folder. **** is the job number). Open up DS_RT (This is coming from memory, so I may be wrong here, I'll correct this when I get on a PX box soon) with the same number, and see if you can find the object file.
It is likely that the object file is not there, or was compiled by a different user, and not accessible by the user doing the exporting.
If you have no clue what I'm saying here, please let me know, and I'll try to put together a detailed step-by-step approach to diagnosis the true cause behind this problem. This kind of thing requires a strong familiarity with UNIX (especially its file permissions.)