I don't believe there is any way to accomplish this with just regular Bash. You could setup
inotify so that it would watch a given directory and then notify the user, typically through email, but there are likely ways to pipe these messages back into a user's shell/environment.
But these notifications would be broad in the sense that they would just come to the users when the links were changed/broken, they wouldn't be contextual, i.e. they wouldn't be sent only when the user was actual in these said directories.
$ mkdir $HOME/tst
$ inotifywait -mr $HOME/tst
Setting up watches. Beware: since -r was given, this may take a while!
$ mkdir somedir
/home/saml/tst/ CREATE,ISDIR somedir
/home/saml/tst/ OPEN,ISDIR somedir
/home/saml/tst/ CLOSE_NOWRITE,CLOSE,ISDIR somedir
$ rmdir somedir
/home/saml/tst/ DELETE,ISDIR somedir