Thing is that most links don’t say that they are opening in a new window. Take Wikipedia for example. External links have an icon but it only says that this link will lead away from Wikipedia, it doesn’t say it opens in a new window. And (luckily, in my opinion) it’s up to the user to decide. I wouldn’t want every external link to open in a new window/tab (but this time I can only speak for myself either).
I’m not saying that this couldn’t be useful at times but it’s not the norm for the average website.
Donít click this link!