The main problem here is what exactly was removed. If only thumbnails, then you can always regenerate them and everything should work OK.
If all files are missing, then you can check if attached file is missing using this code:
if ( file_exists( get_attached_file ( get_post_thumbnail_id( $post_id ) ) ) {
// file exists
} else {
// file doesn’t exist
}
You can also use wp_attachment_is_image
function for that:
if ( wp_attachment_is_image ( get_post_thumbnail_id( $post_id ) ) {
// file exists
} else {
// file doesn’t exist
}