It was just yesterday i was using my twitter account, i tweeted and immediately i said to myself "some people might reply this tweet but i wouldn't see the mention". So something came through my mind and tried it and it worked perfectly. I saw many mentions i was supposed to reply.

Long story short... To check if you have a link mention, just goto the twitter search box and type "twitter.com/YourHandle" e.g. "twitter.com/chriseao" and then click search. That's all.

This is an old trick. It has always been accessible. I'm surprised you are just discovering it.

But still though, this is just the hard way around. It's just the search button at work here. One should be able to receive notifications without going through the troubles of searching for your username. This feature is not available to Windows Phone and Twitter for mobile web. Other features like videos and group DM are also not available. You have to be using Twitter for iOS, Android, and the Web, to be able to take advantage of all its features.