Using VBA (macro) to create a "SendTo" object can give a list of files that are pointed by the drawing file. This requires a PX1 license, "PLM Gateway" if I recall correctly. This allows to automate the manual process you can get to through 'File > Send To', with the files all closed.
Unfortunately I can't offer much more than that. My mission, some time ago, was simply to move files around while manipulating the file names. I was not trying to check links, and I was not trying to check first level links only in the case of assemblies and their children.
Check the Catia Automation docs for more information. Hope that helps, perhaps with just a starting point.
