After a long disease... back one my website ! Web is moving really fast and, of course, lots of pages linked by my website are no longer available... I heard that it could bad for SEO what do you think ? and I can I clean... my site is quite big... and made on Wordpress !
Ultimately your site is made for humans and broken links give a "bad user experience" - and the search engines will penalise you for that "bad user experience". So, yes, get rid of those broken links. Any links out of your site should be to good-quality sites that reinforce the value of your website. If you ever got involved in link exchanges then you need to review every single one of those. Chances are the sites no longer exist and if they do, their reciprocal link doesn't.
Yeah broken links don’t help SEO - they pile up and make your site look abandoned. But fixing a big WordPress site takes time. Start with a plugin like Broken Link Checker or use a crawler like Screaming Frog to find the dead links. Don’t rush to delete, some you can fix with simple redirects. Others, just remove or update with current content. Focus on high-traffic pages first.
It's painful now but it you diary it as a monthly or quarterly task you'll find it gets easier. Be very careful about any links you add.