How to mention a professor that his CV link in the university website do not work?
First, check you are on the correct (current) website. It may be that the university/department changed their websites and you landed on an old version, which is not updated or already partly removed.

If you are sure you are on the correct page, and it is the case for all professors (and faculty) that links are not working [as you write], contact the webmaster rather than the professor. There will be a more general problem that is not to be solved by the professors themselves.