Well.. What is necessary to do: we have one WorkSheet, where is written some Cells, necessary to create some links on another WorkSheet.
Like this:
$objPHPExcel->setActiveSheetIndex(0)
->setTitle('Ws1')
->setCellValue('A1', 'Hello')
->setCellValue('B1', 'world!');
$objPHPExcel->createSheet();
$objPHPExcel->setActiveSheetIndex(1)
->setCellValueExplicit('A1', "='Ws1'.A1&'Ws1'.B1", PHPExcel_Cell_DataType::TYPE_FORMULA);