Interesting question and I think there is no "right" answer, since it always depends on the responsibility of your code. Does your method know if no found data is a problem or not? In most cases the answer is "no" and that's why returning null and letting the caller handling he situation is perfect.
Maybe a good approach to distinguish throwing methods from null-returning methods is to find a convention in your team: Methods that say they "get" something should throw an exception if there is nothing to get. Methods that may return null could be named differently, perhaps "Find..." instead.