As people have explained, although you can create a symlink that links to an URL, it does not accomplish much. UNIX is not smart enough to look at the link content, recognize it as an URL, and then do something appropriate to it.
Nevertheless, I occasionally do create symlinks to URLs. Mainly just as documentation - I am used to going to looking at ~/links/* when I forget where, on the filesystem, I have stored something. It's not much of a stretch to do the same thing for URLs. However, doing so tends to break consistency checks and other stuff that assumess or requires that symlinks point to valid filesystem locations.
Furthermore, I have made some of my own tools smart enough to recognize that, if they see a symlink where an URL is needed, that they should dereference the symlink and look at its contents. More and more of my tools treat URLs and paths in the filesystem as interchangeable. Assuming, of course, that the URL protocol has appropriate methods for reading and writing.