This seems to result from the same issue pointed out in bug #837764 Without https://github.com/pypa/pip/pull/6373/commits/e4936da2e1b62c33f0ed9034f5c984ae17e38e86, resp.raise_for_status() raises requests.exceptions.HTTPError, whereas the except clause tries to catch pip._vendor.requests.exceptions.HTTPError
Because of this the HTTPError is not being caught and installation aborts with a 404 before searching the local directory given by --find-links
