We do (look at the source) but most feed readers seem to ignore it. If anyone can tell us how to format the feed so that stops happening, we're all ears.
http://feedvalidator.org/check.cgi?url=http%3A%2F%2Fnews.ycombinator.com%2Frss
Maybe try generating an Atom feed? Atom seems to be much better defined than any of the myriad competing RSS implementations.
Or maybe toss a hyperlink into the description tag rather than the comments tag ... from what I see in the RSS 2.0 spec, comments is a more of a "should" rather than a "must". The spec itself refers to it as an optional element, and Winer (I think) says in a note that implementers "should" support it. Clearly some of them don't. :-)