I would like to delete certain link that I have in the content of all the entries, for example :
<a href="https://www.sitio.com">link contenido</a>
Change it to:
Or some way to do it from the database, some sentence sql
Your best bet is a 'search and replace' plugin that will fix things in the database. I like the "Better Search and Replace" plugin.
It has a 'test' mode so you can make sure that all is well. You would enter the first term in your question as the 'search', and the 2nd term as the 'replace'. Use the 'test' mode to make sure all is well.
Of course, back up your database first (and know how to restore it) before you do such a thing. Afterwards, disable the plugin (not necessary to remove it).