We don't know, yet. Many skeptics, however, might say researching the subject is a waste of time. Some go so far as to use pejorative terms such as "fringe archaeology." But the use of such ad hominem verbiage stands as a shallow logical fallacy. Some people, it seems, can't stand to say that they "don't know." This film does a good job supporting that "fringe" notion.
Even though we don't have direct evidence of Atlantis, there is a great deal of research that strongly supports the possibility that Plato's lost island empire did exist right where he said it did -- just outside and near Gibraltar, facing Gadira (modern Cadiz, Spain), and extending outward to the size of Ancient Libya and Asia Minor combined. One passage indicates that Atlantis (perhaps the capital city) was 11 days sail from Gibraltar (the Pillars of Herakles). This might include the Azores which stands at that distance, based on the sailing ships of Columbus and their speed.
We also have 3 pieces of scientific evidence that tend to prove that there was an Atlantis-like event right when Plato said the legendary island subsided -- 9600 BC. The Mission: Atlantis website gives these details and sources. Plato's location uncannily stands right where most islands and mountains are formed -- a tectonic plate boundary. And there's even evidence of boundary damage compatible with the Atlantis story. Another website, Atlantis Quest, by Atlantis researcher and author, R. Cedric Leonard, gives a wealth of information regarding archaeological, linguistic, anthropological and other anomalies that may be related to the Atlantis story. Both of these websites follow the clues found in Plato's two dialogs, Timaeus and Critias.
Not everything ancient relates to Atlantis, but if most of the world was primitive at the end of the last Ice Age, and if there was an advanced civilization that first tried to conquer the world and then fled into that primitive landscape when their homeland subsided, then likely many things would relate to Atlantis from that long "dark age" before our own history began.
Regrettably, this film covers none of the really juicy stuff about Atlantis. The place could still turn out to have been myth, but the door is still not closed on the topic. Not by a long shot.