This can happen for a couple of reasons.
1. Is your image configured with a URL in the Email Editor?
In the New Email Editor, click on the image you'd like to use as a link, and in the bar on the right-hand side, scroll down to the section named, "Action." Ensure that an accurate link is configured here.
2. Is the URL configured a full and complete URL?
We've seen issues where web pages are not loading from linked images due to the URL being incomplete and not including HTTP:// (or HTTPS:// depending on the correct protocol to use). Make sure that your link is complete when working with images as third party email apps may not auto-complete this, or recognize your image as a link without a protocol.