When I am trying to add video using Vimeo URL that time alert message comes. so please give me a better solution.
What magento2 version are you using? Just pasted this Vimeo video url in a Magento 2.3.1 and works perfectly: https://player.vimeo.com/video/298200022
That url comes from the sharing Iframe box, check the image:
It seems that some vimeo videos are available trough the api and some others aren't, for example:
This video is not available through the url Magento2 uses to get it:
Magento calls: https://vimeo.com/api/v2/video/295556470.json
curl -I https://vimeo.com/api/v2/video/295556470.json == 404 Not Fount
If we use a video that returns a 404 the message Video Not Found is then triggered, so you have to make sure the video you are trying to use is available through the Api, probably this is a setting for the video in Vimeo