diff --git a/qlib/workflow/record_temp.py b/qlib/workflow/record_temp.py
index 5e817c2e0..161da1bb6 100644
--- a/qlib/workflow/record_temp.py
+++ b/qlib/workflow/record_temp.py
@@ -96,11 +96,12 @@ class RecordTemp:
         """
         try:
             return self.recorder.load_object(self.get_path(name))
-        except LoadObjectError:
+        except LoadObjectError as e:
             if parents:
                 if self.depend_cls is not None:
                     with class_casting(self, self.depend_cls):
                         return self.load(name, parents=True)
+            raise e
 
     def list(self):
         """
diff --git a/qlib/workflow/recorder.py b/qlib/workflow/recorder.py
index 67759e590..94cbac425 100644
--- a/qlib/workflow/recorder.py
+++ b/qlib/workflow/recorder.py
@@ -347,17 +347,17 @@ class MLflowRecorder(Recorder):
         """
         assert self.uri is not None, "Please start the experiment and recorder first before using recorder directly."
 
+        path = None
         try:
             path = self.client.download_artifacts(self.id, name)
             with Path(path).open("rb") as f:
                 data = unpickler(f).load()
             return data
         except Exception as e:
-            logger.exception(f"Fail to load data '{name}'")
             raise LoadObjectError(str(e)) from e
         finally:
             ar = self.client._tracking_client._get_artifact_repo(self.id)
-            if isinstance(ar, AzureBlobArtifactRepository):
+            if isinstance(ar, AzureBlobArtifactRepository) and path is not None:
                 # for saving disk space
                 # For safety, only remove redundant file for specific ArtifactRepository
                 shutil.rmtree(Path(path).absolute().parent)
diff --git a/qlib/workflow/task/collect.py b/qlib/workflow/task/collect.py
index 8d7b6a71c..1866344c4 100644
--- a/qlib/workflow/task/collect.py
+++ b/qlib/workflow/task/collect.py
@@ -10,6 +10,7 @@ from qlib.log import TimeInspector
 from typing import Callable, Dict, Iterable, List
 from qlib.log import get_module_logger
 from qlib.utils.serial import Serializable
+from qlib.utils.exceptions import LoadObjectError
 from qlib.workflow import R
 from qlib.workflow.exp import Experiment
 from qlib.workflow.recorder import Recorder
@@ -228,9 +229,10 @@ class RecorderCollector(Collector):
                 else:
                     try:
                         artifact = rec.load_object(self.artifacts_path[key])
-                    except Exception as e:
+                    except LoadObjectError as e:
                         if only_exist:
                             # only collect existing artifact
+                            logger.warning(f"Fail to load {self.artifacts_path[key]} and it is ignored.")
                             continue
                         raise e
                 # give user some warning if the values are overridden