How to remove phantom document links in Excel ?

When I open my Excel file I get notified that a file, that is currently of no use and not intentionally linked in - cannot be found. The pop-up says:

"Sorry, we couldn't find <URL to file>. Is it possible it was moved, renamed or deleted?"

I have tried to use Edit Links... and even Break Link, but the error does not go away. 

Clearly, there is a reference to a file somewhere, but I cannot see where. Going to File/Data/Edit Links brings up the same file reference, but still no clue as to where they are embedded. I have used Name Manager to check for embedded references in names to no avail. Also no objects where it could hide. I have used the Find function to look for references in formulas and values...

Does anybody have a suggestion ?

UPDATE / SOLVED

I finally discovered that the document reference was hiding within a Data Validation reference. Excel does not provide much help in finding the cause....