You have the choice to embed or link to an object when you insert content into your document from another source. Paste Special also gives you a choice to link objects from the clipboard.
Each method has it's own benefits. With embedding, all the content is contained within a single file. This simplifies distributing documents or moving them around, as all the content moves together. On the other hand, linking reduces redundancy, by having a single source for an object. A link's path can be relative or absolute.
Since you are receiving a message about linked objects in your file, the Edit > Links command will highlight them for you. You can then remove the links and the objects will instead be embedded.
I am having issues with Break Link in LibreOffice 3.4.5. It should be removing the links and embedding the latest contents, but the link persists after saving and closing.