You need to make sure the text is blue like this, otherwise the link WON'T work
Do you have a default browser?(Default browsers open automatically when you click a link from other applications)
do you have any add-ons enabled?
So that shortens down to Client add-ons...Do you use any client add-ons?
Yea...
Are they related to the chat in any way?
disable them all, and see if it still happens