@Eric_Weij, I had the same (very annoying) problem a little while ago and came up with the following checks and fixes. It sounds like you've tried a few of them, but I've left everything in just in case they are helpful to others. I hope it helps.
Break the link
• Goto Data/Edit Links
• Make a note of the external Source(s)
• Try Break Link (never known to work!)
Search for links
• Press CTRL-F to open the Find facility
• Under Find What, enter some or all of the link text you noted in the Break the Link section
• Click Options
• Set Within to Workbook
• Click Find All
• Edit anything that is found
Edit Defined Names
• Goto Formula/Name Manager
• Delete names that refer to external sources or show errors
• Use the filter facility to double check
• This will tidy things up but will probably not solve the problem. Names can be Hidden (by VBA) and Name Manager does not let you see them.
• Use a 3rd party macro tool / add-in to find hidden names. If your system lets you, try FindLink.xlam from
http://www.manville.org.uk/software/findlink.htm.
Check Conditional Formatting
• Use Home/Find&Select/GotoSpecial/Conditional Formatting (or press F5 and click Special) to find cells with conditional formatting.
• Manage Rules to see if a formatting rule contains an external link.
Check Data Validation
• Use Home/Find&Select/GotoSpecial/Data Validation (or press F5 and click Special) to find cells with Data Validation.
• Check cells with drop down lists to see if the list is defined externally
• Can also use Data/Data Validation/Circle Invalid Data to find problems (although these will probably not be external links)
Check Charts
• Check each data series on each chart for external data sources
• Check chart title and axis titles for external references
• Check embedded labels and text boxes
• Check for hidden data series
Check Objects
• Use Home/Find&Select/GotoSpecial/Objects (or press F5 and click Special) to find embedded objects (text boxes, shapes etc).
• Check that the text in each object is not externally linked
Check Pivot Tables
• Select a cell within your Pivot Table
• Navigate to the PivotTable Tools Analyze Tab
• Click the Change Data Source button
• Look inside the Change PivotTable Data Source dialog box and confirm your data is not linked externally
Check VBA
• Press Alt-F11 to open Visual Basic
• Check for macros that create (very hidden) Names