FileNotFoundError: [Errno 2] No such file or directory: 'movies.csv'

[RedSkeleton007]

I tried to run my movie list program:

#!/usr/bin/env python3
#MovieListCSV.py
#This program does pretty much the same thing as MovieList2D.py. The only
#difference about this program is that it calls the writeMovies function
#whenever the user updates the list, so that the data is still saved if this
#program crashes.
import csv

FILENAME = "movies.csv"

def writeMovies(movies):
    with open(FILENAME, "w", newline="") as file:
        writer = csv.writer(file)
        writer.writerows(movies)

def readMovies():
    movies = []
    with open(FILENAME, "r", newline="") as file:
        reader = csv.reader(file)
        for row in reader:
            movies.append(row)
        return movies

def listMovies(movies):
    for i in range(len(movies)):
        movie = movies[i]
        print(str(i+1) + ". " + movie[0] + " (" + movie[1] + ")")
    print()

def addMovie(movies):
    name = input("Name: ")
    year = input("Year: ")
    movie = []
    movie.append(name)
    movie.append(year)
    movies.append(movie)
    writeMovies(movies)
    print(name + " was added.\n")

def deleteMovie(movies):
    index = int(input("Movie Number: "))
    movie = movies.pop(index - 1)
    writeMovies(movies)
    print(movie[0] + " was deleted.\n")

def displayMenu():
    print("COMMAND MENU")
    print("list - List all movies")
    print("add  - Add a movie")
    print("del  - Delete a movie")
    print("exit - Exit the program")
    print()

def main():
    displayMenu()
    movies = readMovies()
    while True:
        command = input("Enter Command: ")
        if command.lower() == "list":
            listMovies(movies)
        elif command.lower() == "add":
            addMovie(movies)
        elif command.lower() == "del":
            deleteMovie(movies)
        elif command.lower() == "exit":
            break
        else:
            print("Invalid command. Please try again.")
    print("Bye!")

if __name__ == "__main__":
    main()

But apparently, storing the movies.csv file into the FILENAME global constant didn't work:

Error:
>>> ================================ RESTART ================================
>>> 
COMMAND MENU
list - List all movies
add  - Add a movie
del  - Delete a movie
exit - Exit the program

Traceback (most recent call last):
  File "F:\Python\Python36-32\SamsPrograms\MovieListCSV.py", line 72, in <module>
    main()
  File "F:\Python\Python36-32\SamsPrograms\MovieListCSV.py", line 56, in main
    movies = readMovies()
  File "F:\Python\Python36-32\SamsPrograms\MovieListCSV.py", line 18, in readMovies
    with open(FILENAME, "r", newline="") as file:
FileNotFoundError: [Errno 2] No such file or directory: 'movies.csv'
>>>

What's wrong? Why isn't movies.csv being created?