As Gabrielle mentioned, it depends on how the linking is defined. For example, if you are talking about remote links, you can probably use the JQL Tricks Plugin to find it.
issue in hasRemoteLinks("mentioned in")
You can change the link type to whatever appropriate. And you can also search based on number of links.
issue in hasRemoteLinks("mentioned in", 2)
And so on..!
It depends on how you define your JIRA issues to be considered "they have a link to a Confluence page".
But natively, you cannot. You can view/vote for this issue https://jira.atlassian.com/browse/JRA-25344 which I think basically is what you are referring to.
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