When humans explain complex topics, they naturally talk about involved entities, such as people, locations, or events. In this paper, we aim at automating this process by retrieving and ranking entities that are relevant to understand free-text web-style queries like Argentine British relations, which typically demand a set of heterogeneous entities with no specific target type like, for instance, Falklands_-War or Margaret_Thatcher, as answer. Standard approaches to entity retrieval rely purely on features from the knowledge base. We approach the problem from the opposite direction, namely by analyzing web documents that are found to be query-relevant. Our approach hinges on entity linking technology that identifies entity mentions and links them to a knowledge base like Wikipedia. We use a learning-to-rank approach and study different features that use documents, entity mentions, and knowledge base entities -thus bridging document and entity retrieval. Since established benchmarks for this problem do not exist, we use TREC test collections for document ranking and collect custom relevance judgments for entities. Experiments on TREC Robust04 and TREC Web13/14 data show that: i) single entity features, like the frequency of occurrence within the top-ranked documents, or the query retrieval score against a knowledge base, perform generally well; ii) the best overall performance is achieved when combining different features that relate an entity to the query, its document mentions, and its knowledge base representation.