I had this same problem so did some digging around, and actually the answer is quite simple. I had created a new Sampler channel strip with a couple of zones to trigger some long running sound effects. BUT I'd not saved the Sampler Instrument. It was still set to Factory Default - so it worked fine as long as the files were still on the Desktop, but when I did a consolidate it didn't pull them in.
When I dug into the concert file I could see that my new instrument did not have an entry in "Sampler Instruments" with corresponding samples in "Samples", so I saved the Sample preset and then saved the concert with all the consolidate checkboxes ticked and it worked.
Have fun!