If you're really suspicious about a link then submit it for analysis on virustotal.com.

As to whether it takes you out of a give site or not, there's nothing necessarily suspicious about a link if it does.  It's very common, in many circumstances, to give links that direct one to references not on the same site as the content being read.  Newspaper and periodical articles are rife with such links.
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Brian - Windows 10 Pro, 64-Bit, Version 2004, Build 19041  

The purpose of education is not to validate ignorance but to overcome it.
       ~ Lawrence Krauss