We have managed to reproduce the reported behavior. The way Inline editing mode works is the following - when you enter inline editing mode, you need to choose which section of the item you want to change - we don't put the entire item in edit mode and it remains in preview mode which means a link will be rendered as a hyperlink-like html. So if you click this link before the section is marked in edit mode, it will redirect you to its respective URL. We understand that this implementation should be changed and we have created a feature request in our Feedback Portal.
In the meantime you could use the following workaround - here is a short demonstration video showing you how to edit content items with hyperlinks: http://screencast.com/t/WZ4XtBOE6
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