It's been discussed many times before. Links in submissions are not automatically converted, links in comments are. A brief search will turn up previous discussions of this, including the reasoning behind that specific design decision.

EDIT: From the FAQ[0]:

    How do I make a link in a question?

    You can't. This is to prevent people from using
    this method as a way of submitting a link, but
    with their comments in a privileged position at
    the top of the page. If you want to submit a link
    with comments, just submit it, then add a regular
    comment.

[0] https://news.ycombinator.com/newsfaq.html