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You can jump between the destination text and the source cross-reference or using the menu on the Cross-References panel.
Here's the InDesign help file on cross-references:
The two buttons at the bottom left of the panel toggle between the two locations:
I realize now that this might be an asinine question. I see they do work in iBooks, for example. They do not work, however, in iBooks on my desktop.
This is in an interactive PDF file, right? It's probably just a limitation of that PDF reader. You should test it out in Adobe Reader or Adobe Acrobat, where it should always work.
That's one of the problems with interactive PDFs: Not all readers support all interactive features.