what means sites linking in a website in Alexa?

The number of sites linking in that Alexa reports is the number of websites in Alexa’s crawl of the web that link to a given website.

Here are a few explanations for cases where you know of links pointing to your site that Alexa does not list:

1. We count the number of sites linking in, and not the number of pages. (Only one link from a given site is counted.)
2. We update the number of sites linking in only once per week for all sites.  (Although the links-in count for sites with Certified Site Metrics is updated daily.)
3. We don’t count links from link farms or other similar search engine placement mechanisms, such as links that are obviously from link exchanges.
4. We don’t count links that appear in search results on a major search engine (such as Google, Bing, etc.).  We do count links from non-search URLs on search engines, for example, plus.google.com.
5. Alexa’s crawl of the web is focused on pages that have measurable traffic.  If we can’t measure any traffic from a given page, then it is less likely to be crawled and the links on that page will not be counted.

The Alexa traffic rank is in no way related to Sites Linking In.

Source Hollandsweb