This is because of how you insert your hyper-links to open. An example would be in GOOGLE Blogs while you are in posting mode. At the top you see where the link is, hilight the word that you want to link from and than your done. Think again, you are not done and you are losing visitors when you use this quick little short cut.
When you click on the Edit HTML link in your blog posting window and search for the string that says Your link you are missing one thing. This is the link you need to open your reference link in a new tab and/or window. After the word URL you want to add target="_blank". Click here for more information on how to open a hyper-link in a new tab.