Honestly, I am not sure why people are surprised. Yahoo no longer runs their own index and the links would be dropping out sooner than later. Yes, Yahoo told us the data will be migrating from Bing Webmaster Tools but it hasn't. As Yahoo's search index becomes stale, so does Site Explorer.
So what is going on?
Hemant Minocha, Product Manager, Yahoo Site Explorer said yesterday in a Yahoo Suggestion Board thread that they are working with Microsoft to bring back all the data. He said:
We are working with the Microsoft team to ensure that webmasters can continue to use Yahoo! Site Explorer to view inlinks (a.k.a backlinks) to a given webpage or a website and to further be able to export them as CSV if desired.
Please note that this functionality will be available only through the Site Explorer UI and not through the Webservices API.
So according to this, Site Explorer will exist on Yahoo, but be using Microsoft link data. But the API for Site explorer will die.
We have an update over here.