I have the same problem trying to link to a simple text file in EXCEL 2016 under OSX.
The files are all set to open with specific programs upon doubleclick.
If it were a webpage, I would have to set the correct mime type on the server, and associate the mimetype with the program in the browser. How is this done in EXCEL? (Or does such an option need to be added to the preference pane by the developers?)

Edit Mod : this post is related to https://www.msofficeforums.com/excel...-clicking.html