There's no understood expectation that Pinterest is going to leave any links you upload to them alone - they are responsible for the data just as much as you are.
I find this much more tolerable than Facebook and most search engines' practice of clicking you through an encoded link, which adds latency for no good reason.
In Facebook's case, this is to protect the user from potentially giving away information about themselves in their Referer header and from potentially malicious links that we didn't have enough information on at display (or email) time, but which we now have enough information to know it is malicious.
The reason most do that is to rob the site you're visiting of context about the page you're just on. If I click through from a friend's Facebook profile they can't see the referrer URL is, for example, facebook.com/nickbarnwell
I find this much more tolerable than Facebook and most search engines' practice of clicking you through an encoded link, which adds latency for no good reason.