When Join a number of PDF to a big one you must join bookmarks too.
And a feature than “Adobe Acrobat XI” doesn’t have yet:
If you have a file:
Chapter1.pdf
with a bookmark or (in general) a link to “Chapter2.pdf#place123"
joining PDFs must be done with respect to this.
So the previous link in big one PDF must be changed to:
In file BigOne.pdf the link is:
”#Chapter2.pdf_place123"