The question was about saving a link on a webpage, which i understand to be a clickable link.
"Save as Shortcut" can save the link of the page being displayed, but not a link on the page. One would have to click on the link to have it rendered and then one would be able to save the currently displayed page link.
On Firefox post 57, there is an extension, "lcwmcfpon", that can do that, i.e. save the target of a link as shortcut in the Windows file manager. One uses the windows context menu on the link of interest.
Pre 57, there use to be one called "Deskcut", which could also save the target of a link being displayed on a web page, without having to actually render the page.
So that one does not have to constantly go back to some free desktop area to drag the link to (as chrome assumes to be the only user-friendly option). At this point, i am unaware of an equivalent extension for chrome.