On average its the action after clicking a malicious link(URL) like @Christos said is dangerous unless you are a high value target(or work in one) and then just clicking link will exploit the vulnerability in the email/chat app, browser etc. leading to other chain of events.

But there's another consequence of clicking links which affects everyone, That's privacy; Say someone wants to know where you live and all they have to do is make you click a URL which can give them your IP address. But this happens even with almost every website you visit. This can easily be addressed by using a VPN, But then if you use the same VPN IP, Browser, OS for all your Internet activities then there are numerous other ways to track you.