Which 404 file does nginx calls?

[agriz]

server_name .site.com;

root /var/www/site.com;
error_page 404 /404.php;
access_log /var/log/nginx/site.access.log;
index index.html index.php;



if ($http_host != "www.site.com") {
    rewrite ^ http://www.site.com$request_uri permanent;
}

        location ~* \.php$ {
#           try_files $uri = 404;
            fastcgi_index   index.php;
            fastcgi_pass    127.0.0.1:xxxx;            
             fastcgi_buffer_size 128k;
             fastcgi_buffers 256 4k;
             fastcgi_busy_buffers_size 256k;
             fastcgi_temp_file_write_size 256k;
             fastcgi_read_timeout 240;

            include         /etc/nginx/fastcgi_params;
            fastcgi_param   SCRIPT_FILENAME   
$document_root$fastcgi_script_name;
#           fastcgi_param   SCRIPT_NAME        $fastcgi_script_name;
        }

after adding error_page 404 /404.php

it works for other files which are not php. It calls the error page.
But if it is a php file, it shows "File not found."

Posted at Nginx Forum: http://forum.nginx.org/read.php?2,243869,243870#msg-243870