diff --git a/src/sphinx_codeautolink/extension/__init__.py b/src/sphinx_codeautolink/extension/__init__.py
index 8b5153a..95bfc15 100644
--- a/src/sphinx_codeautolink/extension/__init__.py
+++ b/src/sphinx_codeautolink/extension/__init__.py
@@ -201,13 +201,12 @@ def filter_and_resolve(
                     continue  # empty transform target (2 calls in a row)
                 try:
                     key = resolve_location(name, self.inventory)
-                except CouldNotResolve:
+                except CouldNotResolve as e:
                     if self.warn_failed_resolve:
                         path = ".".join(name.import_components).replace(".()", "()")
                         msg = (
                             f"Could not resolve {self._resolve_msg(name)}"
-                            f" using path `{path}`.\nPossibly missing a type hint"
-                            " or unable to follow highly dynamic code."
+                            f" using path `{path}`.\n{str(e)}"
                         )
                         logger.warning(
                             msg,
diff --git a/src/sphinx_codeautolink/extension/resolve.py b/src/sphinx_codeautolink/extension/resolve.py
index 1718c7e..c93eb48 100644
--- a/src/sphinx_codeautolink/extension/resolve.py
+++ b/src/sphinx_codeautolink/extension/resolve.py
@@ -51,8 +51,6 @@ class Cursor:
 def make_cursor(components: List[str]) -> Tuple[List[str], Cursor]:
     """Divide components into module and rest, create cursor for following the rest."""
     value, index = closest_module(tuple(components))
-    if value is None or index is None:
-        raise CouldNotResolve()
     location = ".".join(components[:index])
     return components[index:], Cursor(location, value, False)
 
@@ -68,7 +66,7 @@ def locate_type(cursor: Cursor, components: Tuple[str, ...], inventory) -> Curso
         )
 
         if cursor.value is None:
-            raise CouldNotResolve()
+            raise CouldNotResolve(f"{cursor.location} does not exist.")
 
         if isclass(cursor.value):
             cursor.instance = False
@@ -139,7 +137,9 @@ def get_return_annotation(func: Callable) -> Optional[type]:
         or not isinstance(ret_annotation, type)
         or hasattr(ret_annotation, "__origin__")
     ):
-        raise CouldNotResolve()
+        raise CouldNotResolve(
+            f"Unable to follow return annotation of {fully_qualified_name(func)}."
+        )
 
     return ret_annotation
 
@@ -150,12 +150,12 @@ def fully_qualified_name(thing: Union[type, Callable]) -> str:
 
 
 @lru_cache(maxsize=None)
-def closest_module(components: Tuple[str, ...]) -> Tuple[Any, Optional[int]]:
+def closest_module(components: Tuple[str, ...]) -> Tuple[Any, int]:
     """Find closest importable module."""
     try:
         mod = import_module(components[0])
-    except ImportError:
-        return None, None
+    except ImportError as e:
+        raise CouldNotResolve(f"Could not import {components[0]}.") from e
 
     for i in range(1, len(components)):
         try: