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What you should be concerned with, and maybe this is what you mean, is too much repetition of your main keyword in your link anchor text. Here's a thread that may be of help, in which I obsessed about that very thing...
Avoiding excessive repetition in global text links
"Widget" really belongs in every link, but it may be seen as spam
[webmasterworld.com...]
There are several "a href" statements involving "wine" contributing to a high keyword density. Take out these statements and the density is fine. Is it worthwhile renaming the files so the URIs do not involve wine, bringing the density down to below about 7%?
I'm still not sure, when analysing keyword density in general, whether to ignore URIs in the html. I use Axandra's IBP which does consider URIs. Will search engines spiders look at the URIs when investigating whether sites are spamming the search engines with repeated keywords?
keyword1-keyword2-keyword3-keyword4-keyword5.html is going to attract some attention. It probably won't hurt you... It will flag you.
But keyword1 in your URIs is not going to add to the keyword density of the linking page.
Rather than agonizing over minutiae like this, you're really better off focusing on getting some inbound links or writing some more content for your site.