Thank you for reaching out, and sorry to hear you are unable to create a link in XD. We would request you to please try the below steps-
If that doesn't help, please check if you have exported any image files into XD, which might be causing an issue. Please check this post: https://community.adobe.com/t5/adobe-xd-discussions/error-44-when-sharing-documents-in-xd/td-p/10635..., where few customers have shared the solution that worked for them.
Please let us know if you still face the issue and if it's the only file you're experiencing an issue with or with other XD files as well.
We will try our best to help.