I need some more information, since this normally doesn't happen. What device are you using? Windows PC, Mac, phone, tablet, Chromebook, etc. And where is this link located? In an Email local to your device, in an email in a web browser (like gmail using the web interface), in a calendar, etc.
With a little more info, I can do some research and possibly narrow down the issue.
On my desktop and on my laptop, I use Windows. I get the link in an email that I open on a browser. But even copy/pasting the link or opening it from Calendar result in the same: just opens the Zoom app on the desktop, opens the session on the laptop.