Dropbox to Rekordbox

Because you deleted the source file!

When you drag a track into rekordbox, it simply indexes it where it is. That song is added to the collection list, analysed, and when you play it, it loads the song from that original location. What happened when you deleted it from Dropbox is you removed the source audio file. Nothing is copied into rekordbox.

If you don't want to have it in Dropbox, move the file to another folder (internal or external drive). I recommend doing that before you import it so you don't have to go and relocate it later.