I may suggest you check out the solution provided in this support topic: https://wpdiscuz.com/community/postid/3646/

If you don't want to use some other plugin, you can use the following code:

function t4a_comment_links_in_new_window($text) {
    return str_replace('<a', '<a target="_blank"', $text);
}
add_filter('comment_text', 't4a_comment_links_in_new_window');

Add the following code to your functions.php of your theme. Here is a helpful article: https://www.wpbeginner.com/plugins/how-to-easily-add-custom-code-in-wordpress-without-breaking-your-site/

In a future update, could we please have the option for comment links to be opened in a new tab or window? I've searched these forums and have seen solutions that require js code or changing the functions.php file. The problem with this is that there's a concern, particularly among non-developers, that it could break our site if we do it incorrectly. 

A simple toggle that you can switch on/off would be great!

Thanks!