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

Question

I wrote a Python script to connect to SFTP server using key authentication. It connects to server successfully but shows the following warning (see below). What does it mean and how to remove it. What changes has to made in code?

My code:

import os
import pysftp
import socket
import paramiko
import time
import os.path
import shutil

IP = "127.0.X.X"
myUsername = "USERNAME"
port = 22

cnopts = pysftp.CnOpts()
cnopts.hostkeys = None

import os
privatekeyfile = os.path.expanduser("C:\\Users\\Rohan\\.ssh\\cool.prv")
mykey = paramiko.RSAKey.from_private_key_file(privatekeyfile)

try:
    with pysftp.Connection(host=IP, username=myUsername,private_key=mykey,cnopts=cnopts) as sftp:
        try:
            r=str(socket.gethostbyaddr(IP))
            print("connection successful with "+r)

        except socket.herror:
            print("Unknown host")
except:
    print("connection failed")

Warning:

UserWarning: Failed to load HostKeys from C:\Users\Rohan\.ssh\known_hosts.  You will need to explicitly load HostKeys (cnopts.hostkeys.load(filename)) or disableHostKey checking (cnopts.hostkeys = None).
  warnings.warn(wmsg, UserWarning)

Answer 1

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.

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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.