Linux source for kernel version 4.4 lists "entry_64.S" file in /arch/x86/entry/ directory but I am unable to locate this file in my PC at following location:
These markings indicate a Ubuntu system, and the typical way of looking up a file in all of Ubuntu is entering your query at http://packages.ubuntu.com/#search_contents
In your case, that leads to e.g. http://packages.ubuntu.com/search?suite=xenial&arch=any&mode=exactfilename&searchon=contents&keywords=entry_64.S which says the file isn't part of any packages.
If this was a bug, you'd go to http://packages.ubuntu.com/linux-headers-4.4.0-45-generic and file a bug report about it. However, it bears considering that the package is called headers, which is not typically correlated with assembly files.
What you probably want to do is run:
apt-get source linux-headers-4.4.0-45-generic
This will provide you with the full Linux source of that kernel, which will likely include that assembly file, too.