Network embedding is an important class of link prediction methods, which can use the distance between learned low-dimensional node representations to characterize the similarity between nodes. Traditional network embedding methods focus on single-layer networks, while in reality, a large part of complex networks are not isolated, but interdependent and interrelated, forming multiplex complex networks. Also, how to effectively exploit layer correlations in multiplex networks to learn more robust and valuable representations, to improve link prediction performance, has been a hot research topic in the field of complex network analysis. However, previous studies mainly focus on inferring intralinks in each layer of complex networks or anchor links among layers. Another issue that has not been discussed is how to predict potential links or reconstruct the network in unobserved relations based on existing multiplex networks. To this issue, we define a novel inductive link prediction problem in multiplex networks, in which most existing multichannel network embedding methods fail to solve. This is either because they only emphasize the specific structure information of an individual layer or only capture the common information for all layers. To effectively address this problem, we propose a novel embedding method termed interactive learning across relations (ILAR), to capture and fully exploit the multiple relations and complex layer correlations in multiplex networks. We leverage two convolutional modules and ILAR to capture the sufficient complementary and correlations in multiplex networks. Moreover, during interactive learning, a disparity constraint is introduced, which enforces the features encoded from two convolutional modules to be different and prevents information redundancy. Finally, the extensive experiments in several real-world datasets show that our model can significantly outperform the existing state-of-the-art network embedding methods on the novel link prediction problem in multiplex networks.