The include in the twig does not work

I'm trying to use an include:

{% include header.twig %}

In the twig template engine, however it does not work and returns me an error: PHP Fatal error: Uncaught Twig_Error_Loader: Unable to find template "header.twig" (looked into: [path of the file]).

My header.twig file is in the same folder where I am calling it to include.