In most cases, this issue happens when you install and activate WooCommerce plugin.
The default wordpress 'forgot password' link should appear as http://www.YOUR-DOMAIN.com/wp-login.php?action=lostpassword however when WooCommerce is activated it overrides the default link to its own settings.
Please note that WooCommerce has endpoints URL setting under WooCommerce > Settings > Accounts >> My Accounts and would set it to redirect to http://www.YOUR-DOMAIN.com/my-account/lost-password or http://www.YOUR-DOMAIN.com/my-account/forgot-your-password
Upon installation, WooCommerce creates the following pages:
4. My Account
The 'Forgot Password' is link to the 'My Account' page.
If your 'Forgot password' link redirects into a 404 Error Page and you have Woocommerce activated, please ensure the following:
1. Ensure the created 'My Account' page is not set to published AND have not been moved to trash.
2. Go to Settings >> Permalinks. Ensure it is set to 'Post Name'.
3. Check if you don't have other redirection plugin/s active.
For the WooCommerce 'My Account' customization page, please speak with woocommerce support for detailed information.
In case you are not using WooCommerce plugin, please kindly deactivate all your third party installations to see if one of your plugins is causing the issue.