// pipeline {
    agent none    stages {
        stage ("Stage1") {
            agent any 
            steps{
                script {                    try{
                        echo "Collecting artifacts from job." 
                        copyArtifacts filter: "file", fingerprintArtifacts: true, projectName: "NOTEXIST", selector: lastSuccessful(), target: "WHATEVER"
                    }catch(hudson.AbortException e){
                        print e
                        echo "Job  not found, launching build." 
                    }/*catch(Exception e){
                        print e
                    }*/                    echo 'Otra cosa'
                }
            }
        }
        stage ("Stage2") {
            agent any 
            steps{
                script {
                    echo "More things" 
                }
            }
        }
    }
}

Running on Jenkins in /var/jenkins_home/workspace/test
[Pipeline] {
[Pipeline] script
[Pipeline] {
[Pipeline] echo
Collecting artifacts from job.
[Pipeline] copyArtifacts
[Pipeline] }
[Pipeline] // script
[Pipeline] }
[Pipeline] // node
[Pipeline] }
[Pipeline] // stage
[Pipeline] stage
[Pipeline] { (Stage2)
Stage "Stage2" skipped due to earlier failure(s)
[Pipeline] }
[Pipeline] // stage
[Pipeline] End of Pipeline
hudson.AbortException: Unable to find project for artifact copy: NOTEXIST
This may be due to incorrect project name or permission settings; see help for project name in job configuration.
	at hudson.plugins.copyartifact.CopyArtifact.perform(CopyArtifact.java:452)
	at jenkins.tasks.SimpleBuildStep.perform(SimpleBuildStep.java:112)
Caused: java.lang.reflect.InvocationTargetException
	at sun.reflect.NativeMethodAccessorImpl.invoke0(Native Method)
	at sun.reflect.NativeMethodAccessorImpl.invoke(NativeMethodAccessorImpl.java:62)
	at sun.reflect.DelegatingMethodAccessorImpl.invoke(DelegatingMethodAccessorImpl.java:43)
	at java.lang.reflect.Method.invoke(Method.java:498)
	at org.jenkinsci.plugins.workflow.steps.CoreStep$Execution.run(CoreStep.java:92)
	at org.jenkinsci.plugins.workflow.steps.CoreStep$Execution.run(CoreStep.java:70)
	at org.jenkinsci.plugins.workflow.steps.SynchronousNonBlockingStepExecution.lambda$start$0(SynchronousNonBlockingStepExecution.java:47)
	at java.util.concurrent.Executors$RunnableAdapter.call(Executors.java:511)
	at java.util.concurrent.FutureTask.run(FutureTask.java:266)
	at java.util.concurrent.ThreadPoolExecutor.runWorker(ThreadPoolExecutor.java:1149)
	at java.util.concurrent.ThreadPoolExecutor$Worker.run(ThreadPoolExecutor.java:624)
	at java.lang.Thread.run(Thread.java:748)
Finished: FAILURE