Phantom Files, also known as Hidden Game Files, are files that are purposely hidden or improperly titled by Rockstar Games, intended to disguise and hide myths from those viewing on their PC.
There are thousands of files per GTA game, making it nearly impossible for a single person to open and view every one of them. Most people just skim over and glance at the file names, looking for one to stand out. In most cases, the person comes up empty, as they didn't find a file titled with the name of a specific item.
Because of this, it has become widely believed in the myth hunting community that Rockstar anticipates that people are going to search the game files, so in an effort to keep a myth secret, they disguise the name as something that it is not; possibly placing the file in a category where it wouldn't belong in, like a model being placed in the audio section. Others argue that Rockstar can hide files from view entirely, making the file impossible to find.
Some find the theory of phantom files unlikely. Skeptics believe that it is not possible nor ethical that Rockstar can hide a file from everything except a single program, including the user.
One way to experience a phantom file is to modify the game, and then incorrectly uninstall the file. In certain circumstances, this could lead to the game searching for the nonexistent file that the player no longer is able to see, usually resulting in a crash or a glitched model in its place. However this has not been tested or confirmed.