How is the bits representing that link any more of a "fact" than the bits representing the image that link points to?
But never minding that, I don't think anyone says links should be copyrightable -- A link that points to copyrighted information infringes on that information's copyrignt, not on the link's copyright (if there is such a thing.)
For example, if that image link you mentioned above gets changed by Playboy on their end, then the copyright infringement is cleared up without your own involvement at all, because the raw text of the link isn't the infringement and since it no longer points to a copyrighted image, its obviously no longer infringing on said image.
Not that I'm agreeing with this kind of ancillary copyright crap. I think its a horrific abuse of the legal system. But fighting legal battles with linguistic pedantry has never gotten anyone very far even when they're right because fundamentally the law is about actions, not terminology (and even more so in a multilingual entity like the EU. I doubt they use "link" or "fact" or any other English term in France but EU law still applies to them nonetheless.)