To expand on what others said: This back functionality has nothing to do with TeX because you wouldn't encode the back link (from the link destination back to the link source) in the PDF document itself. Rather, the functionality is built into the PDF viewer; when you click a link, taking you to a different page in the PDF document, the PDF viewer remembers where you were and can take you back if you press the right 'back' button. As egreg pointed out, it's common to have many links to the same place so it wouldn't be clear where the back links should point.
Wikipedia is somewhat of an exception in that some link destinations (such as Note #2 here) have a list of all the link sources in the entire document. For Wikipedia, they are labeled with lowercase letters ('a', 'b', ...), and you can just click them one-by-one to see ever place in the main text that references a particular note. I don't know if PDFs support this functionality or, if they do, whether you can create such a PDF with TeX .