1) Write the comment, cut and paste the link into it, and hit enter.

2) Go to "Stories" on your profile.

3) Go to "Responses".

4) Open your most recent comment.

5) Click on the three dots and click "Edit Response".

6) Recopy and paste the link over the text. It should now be a proper hyperlink.

7) Save the changes.

I think Medium make you do it this way to avoid the proliferation of spam links.