"This Workbook contains links to one or more external sources that could be unsafe."

I have seen this quite a few times.
Happens when you copy and paste data from one excel workbook to the other. Instead of pasting the data, excel pastes a link to the data. Possibly a manual error or the pasting settings in one of the paerson you share the file with.

If you ignore the security warning, the last data when copied would be there. If you click on update, the data would be retrived again from the linked document.

If you want to find the link, do this:
1. in find and replace box, type '.xls' and hit 'find all'. You'll get all links referring to xls and xlsx files.

Once you find the cell, verify the existing data, then copy and paste as values on top of it.