In WordPress the links on any comment made on posts have the HTML attribute of NoFollow by default.  What this simply means is that it tells the search engines that a hyperlink will just ignore or not influence the target’s ranking in the search engine’s indexing.  If you are not familiar with it, the attribute should look like this within the tag if you look at the source:

<a href='http://link_of_site_here' rel='external nofollow' class='url'>

The highlighted part of the <a> tag is how WordPress writes the link.  If you want to change this to something else,  like the ever popular DoFollow attribute, there are 2 ways of achieving this.