There is not much information in your post to work from in your post. But if I understand it correctly, you log in on workstation A and connect to server B with SSMS and then you try to set up a linked server to server C.
You don't say how you set up the linked server, nor which error message you get. But I assume that you set up the linked server with self-mapping.
Now, this is not a bug in Windows 11 - after all, the linked server is on machine B, so why would your client matter?
This is a double-hop situation. That is, server B must be able to pass the Kerberos ticket further to server C.
The first check is to run
SELECT auth_scheme FROM sys.dm_exec_connections WHERE session_id = @@spid
It needs to return KERBEROS for the double hop to work. If if returns NTLM, this what you need to fix. As for how, that's outside my expertise, but may be someone else can chime in.