Ok, so I got so many exceptions like:
com.hp.hpl.jena.shared.DoesNotExistException
com.hp.hpl.jena.shared.JenaException: java.net.UnknownHostException:
com.hp.hpl.jena.shared.JenaException: java.net.MalformedURLException: no protocol
First of all, you need to give a URL of file, not a path to file, to Jena. Second, at some cases, like mine, just adding the string "file:" or "file://" to the beginning of your file address doesn't work. BUT, getting the file's URI and converting it to String works perfectly, even though it returns the same string as if you have appended the file address with "file:".
So, if you're struggling over reading some files into Jena, as I did, give this a try:
String url = new File(fileAddr).toURI().toString();
TDBLoader.loadModel(model, url, true);