I only suggested that when importing from camera storage card. Not for photos already imported into the catalog.
I would put them back into the original folder otherwise you will have corrupted the catalog links and the files will show as missing in the LR Library.
You should be able to filter for jpegs (click image) and then press ctrl+A to select all. Click the plus icon next to collections, give your collection a name and check the box to include selected photos.
