Funny, there was just a question about this a few hours ago (hint, hint SEOmoz team). Here was my advice...
The SEOmoz report will give you one referrer for each 404 error. I've had better success and more complete information using Google Webmaster Tools. You get the information "straight from the horse's mouth" as it were.
- Log in to https://www.google.com/webmasters/
- Go to Health > Crawl Errors
- Click "Not Found"
- For each listed, click the URL
- In the pop up window, the third tab will list the pages that link in.