The aim is that your caption is processed by Pandoc so that Markdown get converted to the correct form, and bookdown post processing will insert the text reference in the right place.
We may find another more global way to allow this but currently this is a limitation with figure captions if you want to use Markdown syntax.
However, if you are using a link without changing the text, this should work and also, with raw HTML would work if you use correct quoting
See this example. bookdown::html_document2 is required for text reference to work.
---
title: "Caption"
output:
bookdown::html_document2:
keep_md: true
---
(ref:cap) See this [link](http://pkgs.rstudio.com/)
```{r fig.cap = '(ref:cap)'}
plot(mtcars)
```
```{r fig.cap="See this site http://pkgs.rstudio.com/"}
plot(mtcars)
```
```{r fig.cap = '<a href="http://www.google.com">link</a>'}
plot(mtcars)
```