It's to get around a bug on some platforms where the Referer header isn't set properly. Basically when you click the link in the app (maybe other platforms too idk), it can't set the Referer, so website statistics can't know what came from bsky. This was in their changelog. It used to already work correctly on desktop, though.

Probably so bluesky can get affiliate money, either changing affiliate links with their own a'la honey or just tracking them to report to advertisers how much traffic is going through their platform to garner deals.

In other words, money

Not sure why they have it go through a redirect like that; you can just trap click events and do whatever with them, including sending tracking info back before sending the user to the new page.

So far no one seems to know what the real reason is. That is why there is a lot of guessing.

I'm thinking they'd want to control misuse of the platform. Someone links malware and it is shared enough, they may want to be able to intercept that. At least, that's what I'd want to be able to do.

Most companies implement for malicious link control. They can actively scan as needed and they can prevent users from going to any links deemed malicious. It also adds tracking for amount of clicks on a specific URL. There are more nefarious uses that others have stated redirection for paid links to them and user profile building for ad targeting