http://en.wikipedia.org/wiki/Wikipedia:Citation_needed
Extrapolating on the wikipedia usage, adding a link to this page after some claim can be considered a polite remark that this claim could do with some kind of additional support, for example a link to some web page supporting or elaborating it.
An alternative is sometimes to insert an explicit signed remark — often visually distinguished from surrounding text by e.g. being italicized — but that is much more disruptive for the original text and thus less polite.