Churilov Sergey writes:

> What could be the problem here?

Maybe you are using an old LyX version. You need LyX 2.0.1 for that to
work. You have only to make sure that the path to the file is not
explicitly relative, i.e., it doesn't start with ./ or ../

For example, any of the following will work:

\addplot file {data.dat};
\addplot file {subdir/data.dat};

but the following will fail:

\addplot file {./data.dat};
\addplot file {../data.dat};
\addplot file {./subdir/data.dat};

This is a known (mis)feature of the kpathsea library used by TeX
for file searching.

-- 
Enrico

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