Error canceling file import in Excel

Your comment explains that "cancel" is the user canceling the dialog box that asks for a file to be selected.

In this case where the user decided not to import the file, you should "skip" the code that imports.

The Application.GetOpenFilename method returns the file name if it is selected and returns Fase if the user clicked "cancel" in the dialog box (it is, I know, weird).

Then you can test the return of GetOpenFilename and only execute the import code if the return is other than False . More or less like this:

dirArquivo = Application.GetOpenFilename(FileFilter:="Text File, *.txt")

if dirArquivo <> False then
    'código para importar aqui.
end if

The Application.GetOpenFilename method returns a value of type Variant , which can be a file, an array of files or the boolean value false if the operation is canceled, then you can do a check before starting the import, something like this:

Public Sub btnImportarTXT_Click()

    ' Sub para importar arquivo .TXT

    Dim Dir As String

    dirArquivo = Application.GetOpenFilename(FileFilter:="Text File, *.txt")

    If dirArquivo <> False Then ' verifica se o usuário cancelou a importação
        With Sheets("Extract").QueryTables.Add(Connection:="TEXT;" & dirArquivo, _
        Destination:=Range("Extract!$A$1"))
            .Name = "extract"
            .FieldNames = True
            .RowNumbers = False
            .FillAdjacentFormulas = False
            .PreserveFormatting = True
            .RefreshOnFileOpen = False
            .RefreshStyle = xlInsertDeleteCells
            .SavePassword = False
            .SaveData = True
            .AdjustColumnWidth = True
            .RefreshPeriod = 0
            .TextFilePromptOnRefresh = False
            .TextFilePlatform = 1252
            .TextFileStartRow = 1
            .TextFileParseType = xlDelimited
            .TextFileTextQualifier = xlTextQualifierDoubleQuote
            .TextFileConsecutiveDelimiter = False
            .TextFileTabDelimiter = True
            .TextFileSemicolonDelimiter = False
            .TextFileCommaDelimiter = False
            .TextFileSpaceDelimiter = False
            .TextFileColumnDataTypes = Array(1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1)
            .TextFileTrailingMinusNumbers = True
            .Refresh BackgroundQuery:=False
        End With

        ' Worksheets("Extract").Protect UserInterfaceOnly:=True

        MsgBox "Arquivo importado!", vbOKOnly, "Sucesso!"
    Else
        MsgBox "Importação cancelada!", vbOKOnly, "Aviso!"
    End If

End Sub