Dealing with error in data - Idempotent approach

A prior question had an answer that interested me from a design perspective. I work in geospatial data and occasionally have to deal with voids when I read these binary files into my product. What is the best way to deal with voids when reading them in - throw an exception when you encounter them or return immediately. I believe one of the answers that I read talked of returning rather than throwing an exception. Currently I return rather than throw an exception. But I was wondering whether that is the best approach.