Is there a way to let the user know that they have sent email to a wrong address ?
Yes. The default address feature in cPanel can alert a user that they have sent an email to an invalid address. Choose the option for Discard with error to sender (at SMTP time), and then place the message you wish the mail sender to see in the blank field next to Failure Message (seen by sender):.
Note: This will only work for people who send email to your domain. Each domain on the Internet has different configuration options so sending mail to a wrong address on a different domain may return a different error message.