BUG:df.drop(columns=["col1"])  KeyError  "['col1'] not found in axis"
- [x] I have checked that this issue has not already been reported.

- [x] I have confirmed this bug exists on the latest version of pandas.

- [ ] (optional) I have confirmed this bug exists on the master branch of pandas.

---

**Note**: Please read [this guide](https://matthewrocklin.com/blog/work/2018/02/28/minimal-bug-reports) detailing how to provide the necessary information for us to reproduce your bug.

#### Code Sample, a copy-pastable example

```python
import pandas as pd
df = pd.DataFrame(np.arange(12).reshape(3, 4),
                  columns=['A', 'B', 'C', 'D'])
df.drop(columns=['B1', 'C'])
```



#### Problem description

When trying to drop a non existing column in pandas dataframe it throw a KeyError stating that "['B1'] not found in axis"  It is better if the wording was more specific like : should be "['B1'] not found in columns"  because I specified that I want to delete columns. The same thing is applicable for rows drop. Here you can see the result error:

KeyError                                  Traceback (most recent call last)
<ipython-input-3-e63273db05c2> in <module>
----> 1 df.drop(columns=['B1', 'C'])

D:\Python\My_Anaconda\lib\site-packages\pandas\core\frame.py in drop(self, labels, axis, index, columns, level, inplace, errors)
   4303                 weight  1.0     0.8
   4304         """
-> 4305         return super().drop(
   4306             labels=labels,
   4307             axis=axis,

D:\Python\My_Anaconda\lib\site-packages\pandas\core\generic.py in drop(self, labels, axis, index, columns, level, inplace, errors)
   4150         for axis, labels in axes.items():
   4151             if labels is not None:
-> 4152                 obj = obj._drop_axis(labels, axis, level=level, errors=errors)
   4153 
   4154         if inplace:

D:\Python\My_Anaconda\lib\site-packages\pandas\core\generic.py in _drop_axis(self, labels, axis, level, errors)
   4185                 new_axis = axis.drop(labels, level=level, errors=errors)
   4186             else:
-> 4187                 new_axis = axis.drop(labels, errors=errors)
   4188             result = self.reindex(**{axis_name: new_axis})
   4189 

D:\Python\My_Anaconda\lib\site-packages\pandas\core\indexes\base.py in drop(self, labels, errors)
   5589         if mask.any():
   5590             if errors != "ignore":
-> 5591                 raise KeyError(f"{labels[mask]} not found in axis")
   5592             indexer = indexer[~mask]
   5593         return self.delete(indexer)

KeyError: "['B1'] not found in axis" 


#### OUTPUT EXPECTED:

"['B1'] not found in columns"

#### Output of ``1.2.2``

<details>

INSTALLED VERSIONS
------------------
commit           : 7d32926db8f7541c356066dcadabf854487738de
python           : 3.8.6.final.0
python-bits      : 64
OS               : Windows
OS-release       : 10
Version          : 10.0.19041
machine          : AMD64
processor        : Intel64 Family 6 Model 158 Stepping 9, GenuineIntel
byteorder        : little
LC_ALL           : None
LANG             : None
LOCALE           : English_United States.1252

pandas           : 1.2.2
numpy            : 1.20.1
pytz             : 2021.1
dateutil         : 2.8.1
pip              : 21.0.1
setuptools       : 49.6.0.post20210108
Cython           : 0.29.22
pytest           : 6.2.2
hypothesis       : None
sphinx           : 3.5.1
blosc            : None
feather          : None
xlsxwriter       : 1.3.7
lxml.etree       : 4.6.2
html5lib         : 1.1
pymysql          : None
psycopg2         : None
jinja2           : 2.11.3
IPython          : 7.21.0
pandas_datareader: None
bs4              : 4.9.3
bottleneck       : 1.3.2
fsspec           : 0.8.7
fastparquet      : None
gcsfs            : None
matplotlib       : 3.3.4
numexpr          : 2.7.2
odfpy            : None
openpyxl         : 3.0.6
pandas_gbq       : None
pyarrow          : None
pyxlsb           : None
s3fs             : None
scipy            : 1.6.0
sqlalchemy       : 1.3.23
tables           : 3.6.1
tabulate         : None
xarray           : None
xlrd             : 2.0.1
xlwt             : 1.3.0
numba            : 0.52.0
None

</details>
