Reproduction steps:
1. Set Visual Studio Code as the External Script Editor: Unity > Preferences > External Tools > External Script Editor
2. Open the attached project "ConsoleBug.zip"
3. Click Play
4. In the Console window, double-click on the Debug.Log message:
"Testing the console in Unity 2019.4.23f1
UnityEngine.Debug: Log (object)"

Expected result: Visual Studio Code opens the script, that called the Debug.Log method
Actual result: Visual Studio Code throws an error "Path does not exist"

Reproducible with: 1.2.3 (2019.4.21f1, 2019.4.24f1)
Not reproducible with: 1.2.3 (2019.4.20f1, 2020.1.0a1, 2020.3.4f1, 2021.1.3f1, 2021.2.0a13)
Can't test with: 2018.4.34f1 (No VS Code package)