This works because the Go To dialog records the hyperlink location when a hyperlink is clicked.
When the enter key is pressed, Excel will navigate to the recorded location.
Go back to hyperlink
To navigate back to a hyperlink, after clicking the link, you can use a two step-process: (1) use the shortcut control + G to bring up the Go To dialog box, (2) press Enter to go back to the hyperlink. This works because the Go To dialog records the hyperlink location when a hyperlink is clicked. Then the Go To dialog box is opened, this location will appear in the "Reference" input area. When the enter key is pressed, Excel will navigate to the recorded location.
