When chatting in open game chat, links can be clicked on to open them in a browser.

When using /tell, the receiving player can't click on the link the same way, they must manually type in the URL in a browser, or ask that it be resent over a different medium.

I'd imagine there's something about the way commands are handled such that it skips the checks that determine if it's a link. However, I'd be very surprised if this is actually intended behavior.