This is a new feature with Cognos Analytics v12.1.1.
Before this feature, with a PDF with huge numbers of pages, it was difficult to navigate between pages.
By the way, it is also true with 6 pages!

Basically, you have nearly nothing to do to enable this new feature. If you want to enable this feature for everybody, we will see how to do it.
Try this new feature with a few clicks
First, you might want to enable accessibility features in Report.
Re-run the report in PDF, you will see the following:

You can click on Toogle Sidebar button. This time, the Show Document Outline is available. Click on this button to see:

With a long document, it would be easier to click on the values listed on the left.
How to enable this feature for everyone?
You need to setup a new advanced parameter RSVP.GENERATETAGGEDPDF for both ReportService and BatchReportService. You need to be an Administrator.
From IBM Cognos Administration, click on Configuration tabs, then select Dispatchers and Services.
For BatchReportService, click on Set Properties, then choose Settings tab, then click on Edit... to add advanced parameter.
Add RSVP.GENERATETAGGEDPDF in parameter and set the value to true.

Click OK twice then repeat this for ReportService.
Good news, there is no need to restart Cognos.
Go back to your previous report, disable accessibility features and you will have the bookmarks in your PDF output.