Add an xshift:
\documentclass[border=5pt]{standalone}
\usepackage{tikz}
\usetikzlibrary{matrix,decorations.pathreplacing, calc, positioning,fit}
\begin{document}
\begin{tikzpicture}[>=stealth,thick,baseline]
\matrix [matrix of math nodes,left delimiter=(,right delimiter=)](A){
a_{1,1} & a_{1,2} & \dots & a_{1,j} & \dots & a_{1,n}\\
a_{2,1} & a_{2,2} & \dots & a_{2,j} & \dots & a_{2,n}\\
\vdots & \vdots & & \vdots & & \vdots\\
a_{i,1} & a_{i,2} & \dots & a_{i,j} & \dots & a_{i,n}\\
\vdots & \vdots & & \vdots & & \vdots\\
a_{n,1} & a_{n,2} & \dots & a_{n,j} & \dots & a_{n,n}\\
};
\node[
fit=(A-4-6)(A-4-6),
inner xsep=20pt,inner ysep=0,
label=right: $i$-ième ligne
](L) {};
\node[
fit=(A-6-4)(A-6-4),
inner xsep=20pt,inner ysep=20pt,
label=below: $j$-ième colonne
](C) {};
\draw[->](L.east)-- ([xshift=12pt]A-4-6.east);
\draw[->](C.south)-- (A-6-4);
\end{tikzpicture}
\end{document}

Or shorten the arrow:
\documentclass[border=5pt]{standalone}
\usepackage{tikz}
\usetikzlibrary{matrix,decorations.pathreplacing, calc, positioning,fit}
\begin{document}
\begin{tikzpicture}[>=stealth,thick,baseline]
\matrix [matrix of math nodes,left delimiter=(,right delimiter=)](A){
a_{1,1} & a_{1,2} & \dots & a_{1,j} & \dots & a_{1,n}\\
a_{2,1} & a_{2,2} & \dots & a_{2,j} & \dots & a_{2,n}\\
\vdots & \vdots & & \vdots & & \vdots\\
a_{i,1} & a_{i,2} & \dots & a_{i,j} & \dots & a_{i,n}\\
\vdots & \vdots & & \vdots & & \vdots\\
a_{n,1} & a_{n,2} & \dots & a_{n,j} & \dots & a_{n,n}\\
};
\node[
fit=(A-4-6)(A-4-6),
inner xsep=20pt,inner ysep=0,
label=right: $i$-ième ligne
](L) {};
\node[
fit=(A-6-4)(A-6-4),
inner xsep=20pt,inner ysep=20pt,
label=below: $j$-ième colonne
](C) {};
\draw[->, shorten > =12pt](L.east)-- (A-4-6.east);
\draw[->](C.south)-- (A-6-4);
\end{tikzpicture}
\end{document}
And by the way why do you need fit?
\documentclass[border=5pt]{standalone}
\usepackage{tikz}
\usetikzlibrary{matrix, positioning}
\begin{document}
\begin{tikzpicture}[>=stealth,thick,baseline]
\matrix [matrix of math nodes,left delimiter=(,right delimiter=)](A){
a_{1,1} & a_{1,2} & \dots & a_{1,j} & \dots & a_{1,n}\\
a_{2,1} & a_{2,2} & \dots & a_{2,j} & \dots & a_{2,n}\\
\vdots & \vdots & & \vdots & & \vdots\\
a_{i,1} & a_{i,2} & \dots & a_{i,j} & \dots & a_{i,n}\\
\vdots & \vdots & & \vdots & & \vdots\\
a_{n,1} & a_{n,2} & \dots & a_{n,j} & \dots & a_{n,n}\\
};
\node[right =30pt of A-4-6.east](L) {$i$-ième ligne};
\node[below=20pt of A-6-4.south](C) {$j$-ième colonne};
\draw[->, shorten > =12pt](L.west)-- (A-4-6.east);
\draw[->](C.north)-- (A-6-4.south);
\end{tikzpicture}
\end{document}

(A.south-|A-1-4.center)? Thank you. – Fabrice Apr 18 '19 at 09:06