Please check if the end-user is authenticated, or not.
If an end-user tries to open an external link from the Splash Portal without being authenticated, an alert will notify the user it’s not possible to reach the link until you perform the log in. This is a normal behavior.
Secondly, if the external link is on a text/HTML content block of the Splash Portal and the external URL is correctly configured in the Walled Garden of your access device, you can enable your end-users to correctly visit the website, as described in Accessing content block external links, even in pre-authentication mode.