A few points needed clarification"
- From Excel> About Microsoft Excel in the main menu, what is the present Version & type of License for your Office software?
- Which release of macOS are you running?
- Are you certain that the content in question actually is an active Hyperlink & not simply formatted to look like one?
Any cell can have the blue underscored appearance by applying the Hyperlink Cell Style or by way of direct formatting as shown in this screen shot: What appears to be a Hyperlink is not:
If it is an active Hyperlink the appropriate commands will be in the shortcut menu: