Hi Nicolas,
Im not quite sure what you are after, but possibly all you need to do is add a footnotes attribute to whatever class you want footnotes on (eg an article)? If this is what you are wanting to do, then you may need to add some custom templates for adding/editting the footnotes dependant on your requirements.
I have wondered about the same think myself - let me know if you found a good solution. I would also like to be able to import footnotes into EZ and have them work as clickables...
It can't be done without a custom template operator.
I personally consider footnotes on the web to be quite evil though, it's against everything the web was built for (links should be where they are referenced, not some place else).