User blog comment:DaNASCAT/Technical Update: April 4, 2016/@comment-11733175-20160405165054/@comment-126761-20160405172122

While that was a possiblity, we think it's generally better for users if links on Wikia behave similarly across the site. That feature was not commonly used and makes for rather weird wikitext (for something as simple as a link), so we felt it's better to scale it back while making sure all the links still work.

Even so, the overall discussion of what links should or should not open in new tabs is a valid one, and something we're happy to hear feedback on.