When links are indicated, they are rendered differently from 'normal' text. The colouringcoloring or emphasis are changed for links, so that they can be distinguished.
This is good for the reader, because it makes links easy to identify. However, this is also bad for the reader, because the links are so easy to identify they grab all your attention. The word just glares up at you, distracting focus from the sentence, forcing you to pay attention to the words.
In other words, the reader must make an effort to avoid the distraction of the blue link. However, the reader can't ignore the link, because it might lead to something interesting. So a decision has to be made...
The momentary distraction of blueness can lead to a larger breakdown in the reading as more and more complex decision processes are called in to decide upon the significance of this particular link.