Hi @SR VSP ,
If you are using link web part to display document in modern page, please use direct link instesad of sharing link, such as:
https://tenant/sites/site/Document/Book.xlsx
Per my test, when click the preview of the file, it will pop up a box to open the file in client(same result in Document library web part):
Here is an article about how to get direct link to a document in modern libraries for your reference:
https://www.sharepointdiary.com/2018/06/sharepoint-online-get-direct-link-to-document.html
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