Check under Content > Blocks to see if you have a footer links block.
Changing the links, however will then link to non-existent pages.
To change the url of pages, you need to change the info on the pages themselves.
See Content > Pages for the url key.
Yes I do have a footer link block and they contains links but it don't seem to be those links that are shown.
I don't find those links ate footer links block so I just wonder if I need to alter the code of any of the files ?
There's several places the links could be.
You can check under Content > Blocks to see if there's any other blocks that may contain them. Some themes may also have a custom spot to change them.
As an alternative, you can switch to Developer mode in Stores > Configuration > Advanced > Developer and turn on template hints and blocks to see where they're located. Once you've done so, you can then see if they're in a block or a .phtml file.
Just make sure if the links are coded directly that you update the url on the pages as well or the links will no longer work.