By default, all URLs visited from Anvil Link components will open in a new tab. (We use precisely the target="_blank" mechanism described by @david.wylie above). Because Anvil apps are rich single-page applications, users almost never want to “replace” the app with a link to an external site. And links to internal pages are taken care of by handling the Link's click event.
That said, we may be persuaded to add a target property to Link components at some point if the need arises. Paying users can, of course, use custom HTML in the meantime if need be.