All links posted in the comments under your blogs are turned into links in wordpress.
Unfortunately, this features encourages spammers to post many unwanted comments in your blog.
To disable turning URLs from comments into actual links, go to your admin area and then navigate to Appearance -> Editor.
Select the functions.php file from the right column and add the following line just above the closing php tag ( ?> ):
remove_filter('comment_text', 'make_clickable', 9);