diff --git a/doc/source/whatsnew/v1.1.0.rst b/doc/source/whatsnew/v1.1.0.rst
index f6ad3a800283d..9c78c8b2cbebc 100644
--- a/doc/source/whatsnew/v1.1.0.rst
+++ b/doc/source/whatsnew/v1.1.0.rst
@@ -13,6 +13,15 @@ including other versions of pandas.
 Enhancements
 ~~~~~~~~~~~~
 
+.. _whatsnew_110.specify_missing_labels:
+
+KeyErrors raised by loc specify missing labels
+^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
+Previously, if labels were missing for a loc call, a KeyError was raised stating that this was no longer supported.
+
+Now the error message also includes a list of the missing labels (max 10 items, display width 80 characters). See :issue:`34272`.
+
+
 .. _whatsnew_110.astype_string:
 
 All dtypes can now be converted to ``StringDtype``
diff --git a/pandas/core/indexing.py b/pandas/core/indexing.py
index 9c8b01003bece..3cf20b68c84f4 100644
--- a/pandas/core/indexing.py
+++ b/pandas/core/indexing.py
@@ -2,6 +2,8 @@
 
 import numpy as np
 
+from pandas._config.config import option_context
+
 from pandas._libs.indexing import _NDFrameIndexerBase
 from pandas._libs.lib import item_from_zerodim
 from pandas.errors import AbstractMethodError, InvalidIndexError
@@ -1283,7 +1285,8 @@ def _validate_read_indexer(
             return
 
         # Count missing values:
-        missing = (indexer < 0).sum()
+        missing_mask = indexer < 0
+        missing = (missing_mask).sum()
 
         if missing:
             if missing == len(indexer):
@@ -1302,11 +1305,15 @@ def _validate_read_indexer(
             # code, so we want to avoid warning & then
             # just raising
             if not ax.is_categorical():
-                raise KeyError(
-                    "Passing list-likes to .loc or [] with any missing labels "
-                    "is no longer supported, see "
-                    "https://pandas.pydata.org/pandas-docs/stable/user_guide/indexing.html#deprecate-loc-reindex-listlike"  # noqa:E501
-                )
+                not_found = key[missing_mask]
+
+                with option_context("display.max_seq_items", 10, "display.width", 80):
+                    raise KeyError(
+                        "Passing list-likes to .loc or [] with any missing labels "
+                        "is no longer supported. "
+                        f"The following labels were missing: {not_found}. "
+                        "See https://pandas.pydata.org/pandas-docs/stable/user_guide/indexing.html#deprecate-loc-reindex-listlike"  # noqa:E501
+                    )
 
 
 @doc(IndexingMixin.iloc)
diff --git a/pandas/tests/indexing/test_indexing.py b/pandas/tests/indexing/test_indexing.py
index 5c0230e75021c..b77c47f927517 100644
--- a/pandas/tests/indexing/test_indexing.py
+++ b/pandas/tests/indexing/test_indexing.py
@@ -1075,3 +1075,32 @@ def test_setitem_with_bool_mask_and_values_matching_n_trues_in_length():
     result = ser
     expected = pd.Series([None] * 3 + list(range(5)) + [None] * 2).astype("object")
     tm.assert_series_equal(result, expected)
+
+
+def test_missing_labels_inside_loc_matched_in_error_message():
+    # GH34272
+    s = pd.Series({"a": 1, "b": 2, "c": 3})
+    error_message_regex = "missing_0.*missing_1.*missing_2"
+    with pytest.raises(KeyError, match=error_message_regex):
+        s.loc[["a", "b", "missing_0", "c", "missing_1", "missing_2"]]
+
+
+def test_many_missing_labels_inside_loc_error_message_limited():
+    # GH34272
+    n = 10000
+    missing_labels = [f"missing_{label}" for label in range(n)]
+    s = pd.Series({"a": 1, "b": 2, "c": 3})
+    # regex checks labels between 4 and 9995 are replaced with ellipses
+    error_message_regex = "missing_4.*\\.\\.\\..*missing_9995"
+    with pytest.raises(KeyError, match=error_message_regex):
+        s.loc[["a", "c"] + missing_labels]
+
+
+def test_long_text_missing_labels_inside_loc_error_message_limited():
+    # GH34272
+    s = pd.Series({"a": 1, "b": 2, "c": 3})
+    missing_labels = [f"long_missing_label_text_{i}" * 5 for i in range(3)]
+    # regex checks for very long labels there are new lines between each
+    error_message_regex = "long_missing_label_text_0.*\\\\n.*long_missing_label_text_1"
+    with pytest.raises(KeyError, match=error_message_regex):
+        s.loc[["a", "c"] + missing_labels]