sadly that's not a feature, however, you can delete them manually unless you have way too many bookmarks if you want to delete multiple try holding down ctrl then click on the bookmarks you wish to delete then delete them, like a group.

hope that helps you.

There are add-ons which will check each bookmark's URL and alert you to ones that return a "not found" code. It may consume a lot of resources, so you probably want to do it when you aren't actively browsing.

For example: https://addons.mozilla.org/firefox/addon/bookmarks-organizer/