While it is not technically possible to add links directly to videos - including downloadable mp4 files you create on Promo. - you can achieve a similar effect by using embedded links on Instagram, Facebook, Twitter and YouTube.

Embedding links in the video players of these platforms can serve as 'Call to actions' (CTA) that guide your audience to take the next step, like visiting your website, signing up for your newsletter, using a coupon code or making a direct purchase.

YouTube - try this tutorial on how to add a clickable link to Promo videos you've uploaded to YouTube.
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Facebook Ads - you can add an embedded link to your video only if it falls under Facebook's guidelines, which you can learn about here. 

Twitter - offers CTA buttons on your videos that are promoted tweets, which you can learn more about here.