How do I put a clickable link in a Facebook Note?

The Notes app in Facebook is driving me crazy!
While I am creating a Note, I enter a link with www. and .com and it then turns blue with an underline, so it has obviously been identified as a link. But after I finish creating the Note and Publish it or even just Preview it, the URL is no longer a clickable link. It is just displayed as normal text.
I have played with this for quite a while and haven’t been able to figure out why it seems to fail like this.
What up?