In more detail
Common causes are a page deleted or renamed without a Redirect, a typo in the link, an external site that reorganised or closed, and an expired domain. A link checker requests every link and reports 4xx and 5xx responses, timeouts and DNS failures. A "soft 404" is a missing page that wrongly returns 200 OK with a "not found" message; checkers and search engines can miss it or treat it as real content.
Why it matters
Broken links frustrate visitors and waste crawl budget, and a dead link no longer passes any value to the page it was meant for. Internal links are fully under your control; external ones decay over time and need checking now and then. Fix them by updating the link or by adding a permanent redirect from the old address to the new one. Check HTTP Status Codes Cheat Sheet for what each error means.
Example
A request for a page that was renamed without a redirect:
HEAD /old-page HTTP/1.1
Host: example.com
HTTP/1.1 404 Not Found
After adding a redirect, the same request returns 301 Moved Permanently with Location: https://example.com/new-page, and old links work again.