"Failed to load HostKeys" warning while connecting to SFTP server with pysftp

I believe it's a bug in pysftp. You get this everytime you use cnopts.hostkeys = None (despite the warning actually suggesting to use that).

Anyway, you should not use cnopts.hostkeys = None, you lose security by doing so.
For the correct solution, see Verify host key with pysftp.

By your reference to key authentication, I assume you mistake your account key with host key. Read my article about SSH key pairs to understand the difference.

It's a bug in the latest pysftp, even though you set CnOpts.hostkeys = None, just the act of instantiating CnOpts() makes pysftp look for the known_hosts file and then raise the warning if it's not found. So I just went in the code and commented out the warning and threw in some passes. I didn't have a choice because the warning messages were causing errors downstream. The point is you can implement your own clever solution here:

##C:\Python38\Lib\site-packages\pysftp\__init__.py


class CnOpts(object):   # pylint:disable=r0903
        def __init__(self, knownhosts=None):
            self.log = False
            self.compression = False
            self.ciphers = None
            if knownhosts is None:
                knownhosts = known_hosts()
            self.hostkeys = paramiko.hostkeys.HostKeys()
            try:
                self.hostkeys.load(knownhosts)
            except IOError:
                # can't find known_hosts in the standard place
                # wmsg = "Failed to load HostKeys from %s.  " % knownhosts
                # wmsg += "You will need to explicitly load HostKeys "
                # wmsg += "(cnopts.hostkeys.load(filename)) or disable"
                # wmsg += "HostKey checking (cnopts.hostkeys = None)."
                # warnings.warn(wmsg, UserWarning)
                pass
            else:
                pass
                # if len(self.hostkeys.items()) == 0:
                    # raise HostKeysException('No Host Keys Found')