The fact you visited the link would let them know that company x has an current employee named y.
Whilst that information might not be sensitive it could be used at a later date to extract sensitive company information.
Whilst that information might not be sensitive it could be used at a later date to extract sensitive company information.
There should be a line drawn between real security-conscious workplaces, and the kind of self-important chickenshit places that seem to delight in playing games and harassing their employees with this kind of thing.