But if you link and your browser preloads links to speed up browsing, then your IP address would still be leaked.
If you do not request preload behavior, then you’re just linking another site on the web, and users are considered to understand that links go to other sites, and that’s acceptable. A theoretical GDPR complaint would find that the user agent was responsible for the behavior, not you as site operator.
(I am not your lawyer, this is not legal advice.)