That happens when the end of one line in the AI file does not have the same exact coordinates as the line that is supposed to "continue" the figure.
The way to "fix" it is to use the "Join Vectors" under the edit menu. It will tell you how many open vectors you have now, and how many will remain afterwards.
If any remain you can "select open vectors" and go examine each one to see what the problem is, then decide to fix them individually by right clicking on the open vectors and selecting the menu item "Join/Close vectors". Under that you can add a line, move end points, etc. Chose according to your requirements...
Hope that helps
D
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--Greg Westbrook