Guess I'm late to the party here - but I have this problem as well. Per the MS auto update for office 2011 - I am on the latest version of Office 2011 for Mac, macOS Sierra version 10.12.3, Safari 10.0.3.
I'm using Norton Internet Security - with application and connection controls active, but Word is permitted. No indication in the logs that Word ever attempted to access the internet.
I inserted the link using <cmd>K, manually typed the link used manually in Safari. The link worked in Safari, did not work from Word.
I copied the link from Safari and inserted it into the "Link to:" field in the Edit Hyperlink form - same result.
I copied the link from the Edit Hyperlink form, pasted it into the Safari address - worked fine. Did the same for Chrome - worked fine.
Is there some other setting or filter that I can check?
Thanks in advance
==== Some additional info here, it appears that the issue might be more site related than setup ??? ====
links that are not working from within the Word Document:
https://www.lastpass.com/business/
https://liebsoft.com/products/enterprise_random_password_manager/
https://www.securitycoverage.com/solutions/tech-home/password-genie/
https://thycotic.com/products/secret-server/
links that are working from within the Word Document:
when the links work, Word shows that it is "...preparing to load this document."
https://www.manageengine.com/products/passwordmanagerpro/download.html#licensing
https://www.dashlane.com/business
https://keepersecurity.com/business.html
https://www.passpack.com/about/
https://www.logmeonce.com
http://enterprise.roboform.com/solutions/everywhere