Google crawls pages known to it and pages linked from those known pages. If a page is removed and will never return, use the "HTTP/1.1 410 Gone" HTTP status header to remove non-existing pages from google.
Those are shown to you just for your information - not because they are a problem you "should" fix. Sometimes there is a link from a very good website but it goes to an address that is now 404 on your site. Maybe you removed the page, or maybe they have a typo.
If you can either replace the page or 301 redirect it to a similar page, then your site can benefit from the power of that backlink. And so Google lets you know about all the errors, whether the links are on your site or on another site, because in some cases you might want to do something about it.