It's not historically done. Printed newspapers obviously didn't have links and neither did televised news. Even when the news media started publishing online, it's not like the courts were quick to post the decisions online.

And there's also the idea that you should be able to at least somewhat trust the people reporting the news so they don't have to provide all of their references. --You can certainly argue that not all reporters can or should be trusted anymore, but convincing all journalists to change how they work because of bad ones is always going to be hard.

There is also the added pressure that some organizations quietly pile on editors to keep people from clicking out to third parties at all, where their attention may wander away. Unless of course that third party is an ad destination.

Reputable news organizations are more robust against such pressures, but plenty of people get their news from (in some cases self-described) entertainment sites masquerading as news sites.