Looking for external links but can't find any in formulas in your workbooks? Defined named ranges can also contain external links, and you've deleted what you can from the name manager but you're still getting messages about external links in your workbook. Sometimes there are hidden defined named ranges. Here are two VBA subroutines; one to unhide ALL defined named ranges and another to delete all of them.

Also, check out this awesome 'FindLink' add-in which is great at find external links in your workbook in objects, defined name ranges, and more!!! I had started to build a spreadsheet that did what this tool does, but gave up after finding it since it does what I had managed to do and then some.

Sub UnhideAllDF()

    'Unhide all defined names in the active workbook
    For Each df In ActiveWorkbook.Names
        df.Visible = True
    Next

    MsgBox "Unhid all defined names", vbInformation
	
End Sub

Sub DeleteAllDF()

    If MsgBox("Are you sure you want to delete ALL defined names in " & _
               ActiveWorkbook.Name & "?", vbYesNo + vbQuestion, "DELETE ALL?") <> vbYes Then
        Exit Sub
    End If
	
    'DELETE ALL defined names in the active workbook
    For Each df In ActiveWorkbook.Names
        df.Visible = True
    Next
	
    MsgBox "Deleted all defined names", vbInformation

End Sub