Clicks cannot be tracked on a mailto link because they are opened by the recipient's email client and cannot be redirected first to HubSpot.
To be able to track clicks on a mailto link, you can create a CTA where the destination URL is a mailto link. Read more on this option here.
For all other links, if you have click tracking enabled, HubSpot rewrites links using your domain defined under Content > Content Settings > Tracking. This changes the location of the URL that people see in their email so that when they click on it, it goes to Hubspot first, gets counted and tracked, and then redirected to the URL you intended.