Sure. Go to the Links panel (Window > Links). Select the link. Go to the Links panel menu (top right) and choose Embed Link.
But there aren't many good reasons to do so. Embedding links will increase the file size dramatically and can lead to problems with file corruption.
As others have mentioned how you can do so, my recommendation is not to do so. Here in this forum we had several cases where people did so and the file increased in size and became corrupted.
Better is to link any image or artwork.
Thank you for your answers. What would you recommend I do to transfer a file from one computer to another without having to relink everything, sometimes I have up to 50 links in one file.
File > Package... if the links are not accessible in the original location from both machines.
Ha! Perfectly classic case of XY problem! Pointed out by Jongware in some other thread recently - couldn't find an exact link right now...
User wants to do X.
User doesn't know how to do X, but thinks he can fumble his way to a solution if he can just manage to do Y.
User doesn't know how to do Y either.
User asks for help with Y.
Others try to help user with Y, but are confused because Y seems like a strange problem to want to solve.
After much interaction and wasted time, it finally becomes clear that the user really wants help with X, and that Y wasn't even a suitable solution for X.
Maybe it worth to add to a list of tips and best practices of the forum:
Avoid XY problem!