If you're navigating to another community on their instance, you won't be logged in. When you're seeing that, check the URL. If you're on lemmy.ml, you're still on your instance; if not, you've navigated to that instance.
There's multiple ways to structure links, some of which will take you to that community via your instance, some not.
Could it be phishing? Sure. But far more likely, you're just on another instance where you don't have an account (or at least an active login).