diff --git a/xarray/core/indexes.py b/xarray/core/indexes.py
index ee3ef17ed65..8589496b5eb 100644
--- a/xarray/core/indexes.py
+++ b/xarray/core/indexes.py
@@ -404,7 +404,14 @@ def sel(
                                 f"not all values found in index {coord_name!r}"
                             )
                     else:
-                        indexer = self.index.get_loc(label_value)
+                        try:
+                            indexer = self.index.get_loc(label_value)
+                        except KeyError as e:
+                            raise KeyError(
+                                f"not all values found in index {coord_name!r}. "
+                                "Try setting the `method` keyword argument (example: method='nearest')."
+                            ) from e
+
             elif label_array.dtype.kind == "b":
                 indexer = label_array
             else:
diff --git a/xarray/tests/test_dataarray.py b/xarray/tests/test_dataarray.py
index 5efcea1283f..f26fc1c9d5e 100644
--- a/xarray/tests/test_dataarray.py
+++ b/xarray/tests/test_dataarray.py
@@ -1054,6 +1054,9 @@ def test_sel_no_index(self) -> None:
     def test_sel_method(self) -> None:
         data = DataArray(np.random.randn(3, 4), [("x", [0, 1, 2]), ("y", list("abcd"))])
 
+        with pytest.raises(KeyError, match="Try setting the `method`"):
+            data.sel(y="ab")
+
         expected = data.sel(y=["a", "b"])
         actual = data.sel(y=["ab", "ba"], method="pad")
         assert_identical(expected, actual)