(Another way that can happen is if you use an URL-shortening service, like bit.ly; if that service ever shuts down, as some have, all those redirected links are lost, even if the original material is still where it was.)
I know for a fact that there are a lot of links on my blog that have rotted away without my knowing it. When I do run across it, I try to fix it, but sometimes that's just not possible.
Of course, my blog isn't a collection of major historical documents that are cited and used to educate and litigate. Unlike, say, the Supreme Court's rulings and opinions. Which, where they include links to online material, are rotting at an alarming rate — one estimate has half the links cited in SCOTUS opinions being dead.
(Of the ones that aren't, it's worth noting that some web pages get updated and changed, too — a page of statistics or test results that an opinion points to may be revised in the future, with little or no sign of having been so.)
Since links, as citations, often help illuminate the basis for a ruling and the thinking behind it, that makes it harder to understand (especially over time) why a justice ruled a certain way, weakening their own legal legacy as well as adding uncertainty as to precedent.
If SCOTUS is going to point to web pages as citations, they probably ought to take PDF snapshots of the material and store it as backup somewhere. At a minimum, the ought to include pertinent pull quotes both to illuminate and provide a basis for searching to see if the material has moved elsewhere. Otherwise, their thinking and rulings are increasingly dust in the wind (no matter what else you might consider them).
(Note: this also applies to use of web page citations in academic papers and other formal documents of the sort.)
In Supreme Court Opinions, Web Links to Nowhere
According to a new study, 49 percent of the hyperlinks in Supreme Court decisions no longer work.