I don't think it's possible out-of-the-box, but you might be able to get something like that working with a shortcode approach. You could make a custom shortcode with a link parameter, and in the function for that shortcode, look up that link parameter's corresponding entry and find out its status. Then the shortcode could output a link if the entry was published, and just the original text otherwise. Here's a plugin that lets you add shortcodes: https://github.com/samhernandez/craftcms-shortcodes. If you wanted to get really fancy, you could even make a new redactor (the WYSIWYG editor Craft uses) button that inserts the shortcode instead of the normal anchor HTML.
This approach would probably take a bit of work, though. I'd be interested to see if anyone else has a better solution.